Large and moderate deviations for infinite-dimensional autoregressive processes

André Mas and Ludovic Menneteau

Journal of Multivariate Analysis, 2003, vol. 87, issue 2, 241-260

Abstract: We consider large and moderate deviations for the empirical mean and covariance of hilbertian autoregressive processes. As an application we obtain moderate deviations principles for the eigenvalues and associated projectors of the empirical covariance.

Keywords: Deviations; principles; Autoregressive; hilbertian; processes; Covariance; operators; Functional; principal; component; analysis (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (9)

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