Large and Moderate Deviations Principles 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 deviation principles for the eigenvalues and associated projectors of the empirical covariance sequence.

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Year of publication:	2001
Authors:	Mas, A. ; Menneteau, L.
Subject:	COVARIANCE \| DEVIATION PRINCIPLES \| FUNCTIONAL PRINCIPAL COMPONENT ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C52 - Model Evaluation and Testing ; C10 - Econometric and Statistical Methods: General. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780789