Large deviations for quadratic forms of locally stationary processes

DOI10.1006/JMVA.2001.2003zbMATH Open1130.60307OpenAlexW2039522118MaRDI QIDQ697451FDOQ697451

Marguerite Zani

Publication date: 17 September 2002

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2001.2003

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Applications of operator theory in probability theory and statistics (47N30)

Cites Work

• Fitting time series models to nonstationary processes
• Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra
• On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
• Current developments in time series modelling
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• On the Kullback-Leibler information divergence of locally stationary processes
• Large deviations for quadratic forms of stationary Gaussian processes
• Toeplitz matrices, translation kernels and a related problem in probability theory
• On the Eigenvalues of Generalized Toeplitz Matrices.
• Grandes déviations pour des formes quadratiques de processus gaussiens localement stationnaires
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Cited In (7)

• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Bahadur exact slopes of some tests for spectral densities
• Large deviations for quadratic forms of stationary Gaussian processes
• On large deviations in testing simple hypotheses for locally stationary Gaussian processes
• Title not available (Why is that?)
• Moderate deviations for quadratic forms in Gaussian stationary processes
• Covariance matrix estimation for stationary time series

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