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The G\"artner-Ellis condition for the square of an asymptotically stationary Gaussian process is established. The same limit holds for the conditional distri-bution given any fixed initial point, which entails weak multiplicative ergodicity. The limi
Externí odkaz:
http://arxiv.org/abs/1502.04218
Publikováno v:
Statistics and Probability Letters 87 (2014) 70-75
The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.
Externí odkaz:
http://arxiv.org/abs/1312.5661
Autor:
Konev, Victor, Breton, Alain Le
Publikováno v:
Sequential Analysis; Jan2000, Vol. 19 Issue 1/2, p25-43, 19p
Autor:
Breton, Alain Le
Publikováno v:
In Comptes Rendus de l'Academie des Sciences Series I Mathematics 1998 326(8):997-1002