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

DOI10.1016/S0167-7152(98)00270-3zbMATH Open0942.60021OpenAlexW2013439783MaRDI QIDQ1292786FDOQ1292786

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

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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)

Cites Work

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

Cited In (23)

• On large deviations formulas for quadratic functions of Gaussian random variables
• On the large deviation principle for a quadratic functional of the autoregressive process
• Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
• Estimation of the realized (co-)volatility vector: large deviations approach
• Large deviations for quadratic forms of stationary Gaussian processes
• Large deviations for quadratic functionals of stable Gauss–Markov chains and entropy production
• Large deviations for Gaussian stationary processes and semi-classical analysis
• Canonical moments and random spectral measures
• A note on LDP for supremum of Gaussian processes over infinite horizon
• Title not available (Why is that?)
• Locally adaptive fitting of semiparametric models to nonstationary time series.
• Quadratic and rate-independent limits for a large-deviations functional
• Title not available (Why is that?)
• Sum rules via large deviations: extension to polynomial potentials and the multi-cut regime
• The trace problem for Toeplitz matrices and operators and its impact in probability
• Large deviations for weighted empirical mean with outliers
• Sharp large deviations for Gaussian quadratic forms with applications
• Sample path large deviations for squares of stationary Gaussian processes
• Covariance matrix estimation for stationary time series
• Asymptotic properties of the algebraic moment range process
• Méthodes fonctionnelles pour des grandes déviations quasi-gaussiennes
• Title not available (Why is that?)
• Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions

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