Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes

DOI10.15559/15-VMSTA38CNFzbMATH Open1352.60055arXiv1502.04218MaRDI QIDQ340784FDOQ340784

Alain Le Breton, Marina Kleptsyna, Bernard Ycart

Publication date: 15 November 2016

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

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.

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

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zbMATH Keywords

Laplace transformGaussian processesGärtner-Ellis condition

Mathematics Subject Classification ID

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

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