Large deviations for quadratic forms of Gaussian stationary processes with applications

被引：0

作者：

Bercu, B ^{[1
]}

Gamboa, F ^{[1
]}

Rouault, A ^{[1
]}

机构：

[1] Univ Paris Sud, Stat Lab, F-91405 Orsay, France

来源：

PROCEEDINGS OF THE 36TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5 | 1997年

关键词：

large deviations; quadratic forms; Gaussian processes; Toeplitz matrices;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We establish a large deviation principle for Toeplitz quadratic forms of stationary Gaussian processes. We also propose some statistical applications such as the large deviation behavior of the least squares and the Yule-Walker estimators of the parameter of the autoregressive stable Gaussian process.

引用

页码：594 / 599

页数：6