On large deviations in testing simple hypotheses for locally stationary Gaussian processes
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DOI: 10.1007/s11203-012-9071-9
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References listed on IDEAS
- Pavel Gapeev & Uwe Küchler, 2008. "On large deviations in testing Ornstein–Uhlenbeck-type models," Statistical Inference for Stochastic Processes, Springer, vol. 11(2), pages 143-155, June.
- Zani, Marguerite, 2002. "Large Deviations for Quadratic Forms of Locally Stationary Processes," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 205-228, May.
- Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 139-168, March.
- Dahlhaus, Rainer, 2009. "Local inference for locally stationary time series based on the empirical spectral measure," Journal of Econometrics, Elsevier, vol. 151(2), pages 101-112, August.
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Keywords
Hypothesis testing; Likelihood ratio; Large deviations; Locally stationary Gaussian processes; Hoeffding bound; Stein’s lemma; Chernoff bound;All these keywords.
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