Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss–Markov process

The Laplace transform of partial sums of the square of a non-centered Gauss–Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.

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Year of publication:	2014
Authors:	Kleptsyna, Marina ; Le Breton, Alain ; Ycart, Bernard
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 87.2014, C, p. 70-75
Publisher:	Elsevier
Subject:	Multiplicative ergodicity \| Laplace transform \| Gauss–Markov processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010752982