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

DOI10.1016/0167-7152(93)90203-UMaRDI QIDQ689549zbMATH OpenFDO

Authors Włodek Bryc, Włodzimierz H. Smoleński

Publication date 21 April 1994

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

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)

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Cites work

• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• scientific article; zbMATH DE number 4213284 (Why is no real title available?)
• scientific article; zbMATH DE number 3903723 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• 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)

Cited in

(9)

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

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