Large-deviation results for discriminant statistics of Gaussian locally stationary processes

DOI10.1155/2012/572919MaRDI QIDQ454458zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Junichi Hirukawa

Publication date 8 October 2012

Published in Advances in Decision Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/572919

Mathematics Subject Classification ID

Large deviations (60F10) Stationary stochastic processes (60G10) Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15)

Review text

Summary: This paper discusses the large-deviation principle of discriminant statistics for Gaussian locally stationary processes. First, large-deviation theorems for quadratic forms and the log-likelihood ratio for a Gaussian locally stationary process with a mean function are proved. Their asymptotics are described by the large deviation rate functions. Second, we consider the situations where processes are misspecified to be stationary. In these misspecified cases, we formally make the log-likelihood ratio discriminant statistics and derive the large deviation theorems of them. Since they are complicated, they are evaluated and illustrated by numerical examples. We realize the misspecification of the process to be stationary seriously affecting our discrimination.

Recommendations

• On large deviations in testing simple hypotheses for locally stationary Gaussian processes
• Grandes déviations pour des formes quadratiques de processus gaussiens localement stationnaires
• Sharp large deviations for Gaussian quadratic forms with applications
• Large Deviation Results for Statistics of Short‐ and Long‐memory Gaussian Processes
• Large deviations for quadratic forms of stationary Gaussian processes

Cites work

• Discriminant analysis for locally stationary processes
• Discrimination of Locally Stationary Time Series Based on the Excess Mass Functional
• scientific article; zbMATH DE number 54139 (Why is no real title available?)
• scientific article; zbMATH DE number 1032006 (Why is no real title available?)
• scientific article; zbMATH DE number 2139469 (Why is no real title available?)
• Large Deviation Results for Statistics of Short‐ and Long‐memory Gaussian Processes
• Large deviations for a general class of random vectors
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• On Large Deviations from the Invariant Measure
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• On the Kullback-Leibler information divergence of locally stationary processes

Cited in

(4)

• On large deviations in testing simple hypotheses for locally stationary Gaussian processes
• Discriminant analysis for locally stationary processes
• scientific article; zbMATH DE number 4145164 (Why is no real title available?)
• Grandes déviations pour des formes quadratiques de processus gaussiens localement stationnaires

This page was built for publication: Large-deviation results for discriminant statistics of Gaussian locally stationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q454458)