Large deviations for quadratic forms of stationary Gaussian processes

B. Bercu, F. Gamboa and A. Rouault

Stochastic Processes and their Applications, 1997, vol. 71, issue 1, 75-90

Abstract: A large deviation principle is proved for Toeplitz quadratic forms of centred stationary Gaussian processes. The rate function is obtained by a sharp study of the behaviour of eigenvalues of a product of two Toeplitz matrices. Some statistical applications such as the likelihood ratio test and the estimation of the parameter of an autoregressive Gaussian process are also provided.

Keywords: Large; deviations; Quadratic; forms; Gaussian; processes; Toeplitz; matrices (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (18)

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