Exact L₂-small ball asymptotics for some Durbin processes

DOI10.1007/S10958-020-04657-9zbMATH Open1448.62129OpenAlexW3000738440MaRDI QIDQ2199133FDOQ2199133

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

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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)

Cites Work

• Weak convergence of the sample distribution function when parameters are estimated
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• On the lower tail of Gaussian seminorms
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• Comparison theorems for small deviations of random series
• Exact \(L_2\)-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems
• On the Neumann problem for the Sturm-Liouville equation with Cantor-type self-similar weight
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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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