LARGE DEVIATION PRINCIPLE FOR THE SAMPLE COVARIANCE FUNCTION OF A FIRST ORDER AUTOREGRESSIVE PROCESS

DOI10.14490/JJSS1995.26.209zbMATH Open0892.60040OpenAlexW2062814178MaRDI QIDQ4354752FDOQ4354752

Haruyoshi Mita

Publication date: 9 August 1998

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss1995.26.209

Recommendations

• On the large deviation principle for a quadratic functional of the autoregressive process
• Large and moderate deviations upper bounds for the Gaussian autoregressive process
• On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
• A moderate deviation principle for infinite-dimensional autoregressive processes

zbMATH Keywords

large deviation principlerate functionnon-explosive Gaussian autoregressive process

Mathematics Subject Classification ID

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

Cited In (5)

• Large deviations for Bayesian estimators in first-order autoregressive processes
• On the large deviation principle for a quadratic functional of the autoregressive process
• On exponential rates of estimators of the parameter in the first-order autoregressive process
• Large and moderate deviations upper bounds for the Gaussian autoregressive process
• On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases

This page was built for publication: LARGE DEVIATION PRINCIPLE FOR THE SAMPLE COVARIANCE FUNCTION OF A FIRST ORDER AUTOREGRESSIVE PROCESS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4354752)