Large deviations for quadratic forms of stationary Gaussian processes

A large deviation principle is proved for Toeplitz quadratic forms of centred stationary Gaussian processes. The rate function is obtained by a sharp study of the behaviour of eigenvalues of a product of two Toeplitz matrices. Some statistical applications such as the likelihood ratio test and the estimation of the parameter of an autoregressive Gaussian process are also provided.

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Year of publication:	1997
Authors:	Bercu, B. ; Gamboa, F. ; Rouault, A.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 71.1997, 1, p. 75-90
Publisher:	Elsevier
Keywords:	Large deviations Quadratic forms Gaussian processes Toeplitz matrices

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

Persistent link: https://www.econbiz.de/10008873816