Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss–Markov process

Marina Kleptsyna, Alain Le Breton and Bernard Ycart

Statistics & Probability Letters, 2014, vol. 87, issue C, 70-75

Abstract: The Laplace transform of partial sums of the square of a non-centered Gauss–Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.

Keywords: Multiplicative ergodicity; Laplace transform; Gauss–Markov processes (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2013.12.023

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