Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes

DOI10.15559/15-VMSTA38CNFMaRDI QIDQ340784zbMATH OpenFDO

Authors Marina Kleptsyna, Alain Le Breton, Bernard Ycart

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.04218

zbMATH Keywords

Laplace transformGaussian processesGärtner-Ellis condition

Mathematics Subject Classification ID

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

Abstract: The G"artner-Ellis condition for the square of an asymptotically stationary Gaussian process is established. The same limit holds for the conditional distri-bution given any fixed initial point, which entails weak multiplicative ergodicity. The limit is shown to be the Laplace transform of a convolution of Gamma distributions with Poisson compound of exponentials. A proof based on Wiener-Hopf factorization induces a probabilistic interpretation of the limit in terms of a regression problem.

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