Exact L₂-small ball asymptotics for some Durbin processes

DOI10.1007/S10958-020-04657-9MaRDI QIDQ2199133zbMATH OpenOpenAlexFDO

Authors Y. P. Petrova

Publication date 16 September 2020

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-020-04657-9

zbMATH Keywords

Durbin process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Foundations of stochastic processes (60G05)

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Cites work

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• Comparison results for the lower tail of Gaussian seminorms
• Comparison theorems for small deviations of random series
• Exact L₂-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems
• Exact \(L_{2}\)-small ball asymptotics of Gaussian processes and the spectrum of boundary-value problems
• Lectures on Gaussian Processes
• On Tests of Normality and Other Tests of Goodness of Fit Based on Distance Methods
• On the Neumann problem for the Sturm-Liouville equation with Cantor-type self-similar weight
• On the lower tail of Gaussian seminorms
• Weak convergence of the sample distribution function when parameters are estimated

Cited in

(4)

• \(L_2\)-small ball asymptotics for a family of finite-dimensional perturbations of Gaussian functions
• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• The small ball asymptotics in Hilbert norm for the Kac-Kiefer-Wolfowitz processes
• Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes

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