Large deviation probabilities for square-Gaussian stochastic processes (Q5926464)
From MaRDI portal
scientific article; zbMATH DE number 1571580
Language | Label | Description | Also known as |
---|---|---|---|
English | Large deviation probabilities for square-Gaussian stochastic processes |
scientific article; zbMATH DE number 1571580 |
Statements
Large deviation probabilities for square-Gaussian stochastic processes (English)
0 references
1 March 2001
0 references
Estimates of large deviation probability for the class of square-Gaussian stochastic processes and some subclasses of this class are proposed. These subclasses of the class of square-Gaussian stochastic processes are determined by a function \(R(s),\) \(-a_{1}<s<a_{2},\) \(a_{1}>0,\) \(a_{2}>0,\) such that \[ \sup_{t\in T}{\mathbf E}\exp\{sX(t)/(\text{Var} X(t))^{1/2}\}\leq R(s). \] Square-Gaussian stochastic processes satisfy this inequality for all \(s,\) \(|s|<1,\) with the function \[ R(s)=Q(s)=(1-|s|)^{-1/2}\exp\{-|s|/2\}. \] Estimates for probability of large deviation of suprema of processes from these subclasses are obtained. These estimates are determined by the function \(R(s)\) and the function \(\sigma(h),\) \(h>0,\) such that \[ \sup_{\rho(t,s)\leq h}({\mathbf E}(X(t)-X(s))^{2})^{1/2}\leq \sigma(h). \] Estimates are more precise for more restricted classes of stochastic processes.
0 references
square-Gaussian stochastic processes
0 references
quadratic form
0 references
large deviation probability
0 references
covariance function
0 references
hypothesis testing
0 references
confidence region
0 references
Gaussian process
0 references