Moderate deviations for quadratic forms in Gaussian stationary processes
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 98 (2007)
Issue (Month): 5 (May)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter M. Robinson & Carlos Velasco, 2000.
"Edgeworth expansions for spectral density estimates and studentized sample mean,"
LSE Research Online Documents on Economics
2148, London School of Economics and Political Science, LSE Library.
- Velasco, Carlos & Robinson, Peter M., 2001. "Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean," Econometric Theory, Cambridge University Press, vol. 17(03), pages 497-539, June.
- Carlos Velasco & Peter M. Robinson, 2001. "Edgeworth expansions for spectral density estimates and studentized sample mean," LSE Research Online Documents on Economics 315, London School of Economics and Political Science, LSE Library.
- Zani, Marguerite, 2002. "Large Deviations for Quadratic Forms of Locally Stationary Processes," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 205-228, May.
- Bercu, B. & Gamboa, F. & Rouault, A., 1997. "Large deviations for quadratic forms of stationary Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 75-90, October.
- Daniel Janas, 1994. "Edgeworth expansions for spectral mean estimates with applications to Whittle estimates," Annals of the Institute of Statistical Mathematics, Springer, vol. 46(4), pages 667-682, December.
- Yoshihide Kakizawa, 2006. "Bernstein polynomial estimation of a spectral density," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 253-287, 03.
- Taniguchi, Masanobu & van Garderen, Kees Jan & Puri, Madan L., 2003. "Higher Order Asymptotic Theory For Minimum Contrast Estimators Of Spectral Parameters Of Stationary Processes," Econometric Theory, Cambridge University Press, vol. 19(06), pages 984-1007, December.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:98:y:2007:i:5:p:992-1017. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.