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Large Deviations for Quadratic Forms of Locally Stationary Processes

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  • Zani, Marguerite

Abstract

We are interested in large deviations for consistent statistics which are quadratic forms of Gaussian locally stationary processes in the sense of Dahlhaus.

Suggested Citation

  • Zani, Marguerite, 2002. "Large Deviations for Quadratic Forms of Locally Stationary Processes," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 205-228, May.
    • Handle: RePEc:eee:jmvana:v:81:y:2002:i:2:p:205-228
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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. Rainer Dahlhaus & Liudas Giraitis, 1998. "On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(6), pages 629-655, November.
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    Cited by:

    1. Kakizawa, Yoshihide, 2007. "Moderate deviations for quadratic forms in Gaussian stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 98(5), pages 992-1017, May.
    2. Inder Tecuapetla-Gómez & Michael Nussbaum, 2012. "On large deviations in testing simple hypotheses for locally stationary Gaussian processes," Statistical Inference for Stochastic Processes, Springer, vol. 15(3), pages 225-239, October.

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