On large deviations formulas for quadratic functions of Gaussian random variables

DOI10.1515/ROSE.2001.9.1.23MaRDI QIDQ2722273zbMATH OpenOpenAlexFDO

Authors I. Ibramhalilov, Anatolii V. Skorokhod

Publication date 11 July 2001

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.2001.9.1.23

zbMATH Keywords

estimates for probabilitiesGaussian random variableslarge deviationstesting hypothesis

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Hypothesis testing in multivariate analysis (62H15)

Review text

The method of large deviations proposed by \textit{H. Cramer} [Actuar. Sci. Indust. 736, 5-23 (1938)] for the central limit theorem, was essentially generalized by \textit{R. S. Ellis} [``Entropy, large deviations, and statistical mechanics (1985; Zbl 0566.60097)]. The Ellis approach is used to investigate the large deviations for a sequence of the random variables of the form \(Z_{n}=\sum_{i,k=-n}^{n}(a^{n}_{i,k}-\delta_{i-k})X_{i}X_{k}\), where \((X_{k}, k=0,\pm 1,\pm 2,...)\) is a sequence of independent Gaussian random variables with \(EX_{k}=0, EX_{k}^{2}=1\), and \(a^{n}_{i,k}\) are elements of the matrix \(B^{-1}_{n},\) where \(B_{n}\) is a \((2n+1)\times (2n+1)\) matrix with the elements \(b_{i,k}=b_{i-k}\) and \(\{b_{k}, k=0,\pm 1,\dots\}\) is the correlation function of a stationary stochastic process with discrete time, \(\delta_{0}=1, \delta_{k}=0\) for \(k\not=0.\) The result is applied for testing a hypothesis on the correlation function of a Gaussian stationary stochastic process with discrete time.

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