Gärtner–Ellis condition for squared asymptotically stationary Gaussian processes

Gärtner–Ellis condition for squared asymptotically stationary Gaussian processes

We establish the Gärtner–Ellis condition for the square of an asymptotically stationary Gaussian process. The same limit holds for the conditional distribution given any fixed initial point, which entails weak multiplicative ergodicity. The limit is shown to be the Laplace transform of a convolution...

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Bibliographic Details
Main Authors: Marina Kleptsyna, Alain Le Breton, Bernard Ycart
Format: Article
Language:English
Published: VTeX 2015-10-01
Series:Modern Stochastics: Theory and Applications
Subjects:
Gärtner–Ellis condition
Gaussian process
Laplace transform
Online Access:https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA38CNF

Internet

https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA38CNF

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