LARGE DEVIATION PRINCIPLE FOR THE SAMPLE COVARIANCE FUNCTION OF A FIRST ORDER AUTOREGRESSIVE PROCESS

DOI10.14490/JJSS1995.26.209zbMath0892.60040OpenAlexW2062814178MaRDI QIDQ4354752

Haruyoshi Mita

Publication date: 9 August 1998

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss1995.26.209

zbMATH Keywords

large deviation principlerate functionnon-explosive Gaussian autoregressive process

Mathematics Subject Classification ID

Gaussian processes (60G15) Large deviations (60F10)

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Large deviations for Bayesian estimators in first-order autoregressive processes ⋮ On exponential rates of estimators of the parameter in the first-order autoregressive process

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