On the large deviation principle for a quadratic functional of the autoregressive process

DOI10.1016/0167-7152(93)90203-UzbMATH Open0786.60025MaRDI QIDQ689549FDOQ689549

Authors: Włodek Bryc, Włodzimierz H. Smoleński 

Publication date: 21 April 1994

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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zbMATH Keywords

large deviation principlerate functionquadratic costdiscrete stochastic control

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

Cites Work

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• Large deviation rate calculations for nonlinear detectors in Gaussian noise
• Propriétés asymptotiques presque sûres de l'estimateur des moindres carrés d'un modèle autorégressif vectoriel. (Almost sure asymptotic properties of the least squares estimators in a vectorial autoregressive model)
• Title not available (Why is that?)

Cited In (9)

• Large deviations for Bayesian estimators in first-order autoregressive processes
• Large deviations for quadratic forms of stationary Gaussian processes
• Large deviations for quadratic functionals of stable Gauss–Markov chains and entropy production
• Note on functional large deviation principle for fractional ARIMA processes
• The discounted large deviation principle for autoregressive processes
• A remark on the connection between the large deviation principle and the central limit theorem
• Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations
• Sharp large deviations for Gaussian quadratic forms with applications
• Large and moderate deviations upper bounds for the Gaussian autoregressive process

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