On large deviations of empirical measures for stationary Gaussian processes

Wlodzimierz Bryc and Amir Dembo

Stochastic Processes and their Applications, 1995, vol. 58, issue 1, 23-34

Abstract: We show that the large deviation principle with respect to the weak topology holds for the empirical measure of any stationary continuous-time Gaussian process with continuous vanishing at infinity spectral density. We also point out that large deviation principle might fail in both continuous and discrete time if the spectral density is discontinuous.

Keywords: Large; deviations; Empirical; measure; Gaussian; processes (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (3)

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