On the large deviation principle for a quadratic functional of the autoregressive process

For the sum of squares of an autoregressive system, the large deviation principle with the explicit rate function is established.

Year of publication:	1993
Authors:	Bryc, Wlodzimierz ; Smolenski, Wlodzimierz
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 17.1993, 4, p. 281-285
Publisher:	Elsevier
Keywords:	Large deviations discrete stochastic control quadratic cost

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

Persistent link: https://www.econbiz.de/10005137774