Moderate deviations for quadratic forms in Gaussian stationary processes

Moderate deviations limit theorem is proved for quadratic forms in zero-mean Gaussian stationary processes. Two particular cases are the cumulative periodogram and the kernel spectral density estimator. We also derive the exponential decay of moderate deviation probabilities of goodness-of-fit tests for the spectral density and then discuss intermediate asymptotic efficiencies of tests.

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Year of publication:	2007
Authors:	Kakizawa, Yoshihide
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 98.2007, 5, p. 992-1017
Publisher:	Elsevier
Keywords:	Moderate deviations Gaussian stationary process Spectral density Quadratic forms Toeplitz matrix Cumulative periodogram Kernel spectral density estimator

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

Persistent link: https://www.econbiz.de/10005221586