Sample path large deviations for squares of stationary Gaussian processes

DOI10.1137/S0040585X97986023zbMATH Open1282.60035MaRDI QIDQ2845221FDOQ2845221

Authors: M. Zani 

Publication date: 22 August 2013

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

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zbMATH Keywords

Gaussian processeslarge deviationsToeplitz matricesSzergő theorem

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Stationary stochastic processes (60G10)

Cited In (5)

• Estimation of the realized (co-)volatility vector: large deviations approach
• Large deviations for quadratic functionals of stable Gauss–Markov chains and entropy production
• Title not available (Why is that?)
• [Russian Text Ignored]
• Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations

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