LARGE DEVIATIONS FOR QUADRATIC-FORMS OF STATIONARY GAUSSIAN-PROCESSES

Authors
BERCU B GAMBOA F ROUAULT A
Citation
B. Bercu et al., LARGE DEVIATIONS FOR QUADRATIC-FORMS OF STATIONARY GAUSSIAN-PROCESSES, Stochastic processes and their applications, 71(1), 1997, pp. 75-90
Citations number
18
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
71
Issue
1
Year of publication
1997
Pages
75 - 90
Database
ISI
SICI code
0304-4149(1997)71:1<75:LDFQOS>2.0.ZU;2-5
Abstract
A large deviation principle is proved for Toeplitz quadratic forms of centred stationary Gaussian processes. The rate function is obtained b y a sharp study of the behaviour of eigenvalues of a product of two To eplitz matrices. Some statistical applications such as the likelihood ratio test and the estimation of the parameter of an autoregressive Ga ussian process are also provided. (C) 1997 Elsevier Science B.V.