A functional large deviations principle for quadratic forms of Gaussian stationary processes

DOI10.1016/S0167-7152(98)00270-3MaRDI QIDQ1292786zbMATHOpenAlexFDO

Authors Fabrice Gamboa, Alain Rouault, Marguerite Zani

Publication date 9 August 1999

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00270-3

zbMATH Keywords

Gaussian processeslarge deviationsquadratic formsToeplitz matricesWiener-Hopf operators

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Sums of squares and representations by other particular quadratic forms (11E25)

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• A primer on spectral theory
• Bayesian methods and maximum entropy for ill-posed inverse problems
• Integrals which are convex functionals. II
• Large deviations and variational theorems for marginal problems
• Large deviations for quadratic forms of stationary Gaussian processes
• Large deviations for quadratic functionals of Gaussian processes
• Large deviations for subsampling from individual sequences
• On Toeplitz type quadratic functionals of stationary Gaussian processes
• On bilinear forms in Gaussian random variables and Toeplitz matrices

Cited in

(26)

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• On large deviations formulas for quadratic functions of Gaussian random variables
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• Some large deviations principles for time-changed Gaussian processes
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• scientific article; zbMATH DE number 878618 (Why is no real title available?)
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• Sum rules via large deviations: extension to polynomial potentials and the multi-cut regime
• Large deviations of time-averaged statistics for Gaussian processes
• Large deviations for quadratic functionals of stable Gauss–Markov chains and entropy production
• On the large deviation principle for a quadratic functional of the autoregressive process
• Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions
• Sharp large deviations for Gaussian quadratic forms with applications
• Large deviations for weighted empirical mean with outliers
• Canonical moments and random spectral measures
• Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
• The trace problem for Toeplitz matrices and operators and its impact in probability
• Large deviations for Gaussian stationary processes and semi-classical analysis
• Estimation of the realized (co-)volatility vector: large deviations approach
• scientific article; zbMATH DE number 5082658 (Why is no real title available?)
• Covariance matrix estimation for stationary time series

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