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.
Volume (Year): 98 (2007)
Issue (Month): 5 (May)
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- Velasco, Carlos & Robinson, Peter M., 2001.
"Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean,"
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