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

DOI10.14490/JJSS1995.26.209MaRDI QIDQ4354752zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

large deviation principlerate functionnon-explosive Gaussian autoregressive process

Mathematics Subject Classification ID

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

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Cited in

(7)

• On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
• Large deviations for Bayesian estimators in first-order autoregressive processes
• On the large deviation principle for a quadratic functional of the autoregressive process
• The discounted large deviation principle for autoregressive processes
• On exponential rates of estimators of the parameter in the first-order autoregressive process
• Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations
• Large and moderate deviations upper bounds for the Gaussian autoregressive process

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