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Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss–Markov process

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  • Kleptsyna, Marina
  • Le Breton, Alain
  • Ycart, Bernard

Abstract

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.

Suggested Citation

  • Kleptsyna, Marina & Le Breton, Alain & Ycart, Bernard, 2014. "Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss–Markov process," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 70-75.
    • Handle: RePEc:eee:stapro:v:87:y:2014:i:c:p:70-75
    DOI: 10.1016/j.spl.2013.12.023
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    References listed on IDEAS

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    1. Balaji, S. & Meyn, S. P., 2000. "Multiplicative ergodicity and large deviations for an irreducible Markov chain," Stochastic Processes and their Applications, Elsevier, vol. 90(1), pages 123-144, November.
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