Large Deviation Results for Statistics of Short‐ and Long‐memory Gaussian Processes

DOI10.1111/1467-842X.00003zbMATH Open0931.60017OpenAlexW2051214023MaRDI QIDQ4247979FDOQ4247979

Authors: Toshiyuki Sato, Yoshihide Kakizawa, Masanobu Taniguchi 

Publication date: 20 February 2000

Published in: Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-842x.00003

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zbMATH Keywords

log-likelihood ratio statisticlarge deviation rate function

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15)

Cited In (10)

• Large deviations of time-averaged statistics for Gaussian processes
• Title not available (Why is that?)
• On large deviation asymptotics of some tests in time series
• On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes
• On exponential rates of estimators of the parameter in the first-order autoregressive process
• Large-deviation results for discriminant statistics of Gaussian locally stationary processes
• Martingale transforms and Girsanov theorem for long-memory Gaussian processes
• The trace problem for Toeplitz matrices and operators and its impact in probability
• Large deviation results on some estimators for stationary Gaussian processes
• Maximal eigenvalue and norm of a product of Toeplitz matrices. Study of a particular case

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