Moderate deviations for quadratic forms in Gaussian stationary processes

Yoshihide Kakizawa

Journal of Multivariate Analysis, 2007, vol. 98, issue 5, 992-1017

Abstract: Moderate deviations limit theorem is proved for quadratic forms in zero-mean Gaussian stationary processes. Two particular cases are the cumulative periodogram and the kernel spectral density estimator. We also derive the exponential decay of moderate deviation probabilities of goodness-of-fit tests for the spectral density and then discuss intermediate asymptotic efficiencies of tests.

Keywords: Moderate; deviations; Gaussian; stationary; process; Spectral; density; Quadratic; forms; Toeplitz; matrix; Cumulative; periodogram; Kernel; spectral; density; estimator (search for similar items in EconPapers)
Date: 2007
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