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Large and moderate deviations for infinite-dimensional autoregressive processes

We consider large and moderate deviations for the empirical mean and covariance of hilbertian autoregressive processes. As an application we obtain moderate deviations principles for the eigenvalues and associated projectors of the empirical covariance.
Year of publication:
2003
Authors: Mas, André ; Menneteau, Ludovic
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 87.2003, 2, p. 241-260
Publisher: Elsevier
Keywords: Deviations principles Autoregressive hilbertian processes Covariance operators Functional principal component analysis
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005153198
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