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A functional large deviations principle for quadratic forms of Gaussian stationary processes

Author

Listed:
  • Gamboa, F.
  • Rouault, A.
  • Zani, M.

Abstract

A functional large deviations principle is proved for quadratic forms of centered stationary Gaussian processes indexed by discrete or continuous time.

Suggested Citation

  • Gamboa, F. & Rouault, A. & Zani, M., 1999. "A functional large deviations principle for quadratic forms of Gaussian stationary processes," Statistics & Probability Letters, Elsevier, vol. 43(3), pages 299-308, July.
    • Handle: RePEc:eee:stapro:v:43:y:1999:i:3:p:299-308
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    References listed on IDEAS

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    1. 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.
    2. Dembo, Amir & Zeitouni, Ofer, 1996. "Large deviations for subsampling from individual sequences," Statistics & Probability Letters, Elsevier, vol. 27(3), pages 201-205, April.
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    Cited by:

    1. Maïda, M. & Najim, J. & Péché, S., 2007. "Large deviations for weighted empirical mean with outliers," Stochastic Processes and their Applications, Elsevier, vol. 117(10), pages 1373-1403, October.
    2. F. Gamboa & A. Rouault, 2010. "Canonical Moments and Random Spectral Measures," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1015-1038, December.
    3. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
    4. Boistard Hélène, 2007. "Large deviations for L-statistics," Statistics & Risk Modeling, De Gruyter, vol. 25(2), pages 89-125, April.

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