Large deviation probabilities for square-Gaussian stochastic processes

DOI10.1023/A:1009907019950zbMath0961.60043OpenAlexW79939537MaRDI QIDQ5926464

Oksana Moklyachuk, Yuriy Vasil'ovich Kozachenko

Publication date: 1 March 2001

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009907019950

zbMATH Keywords

confidence regioncovariance functionGaussian processhypothesis testinglarge deviation probabilityquadratic formsquare-Gaussian stochastic processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Large deviations (60F10) General theory of stochastic processes (60G07)

Related Items (4)

On statistical properties of the estimator of impulse response function ⋮ Statistical hypothesis testing for the shape of impulse response function ⋮ Conditions for the sample continuity with probability one for square-Gaussian stochastic processes ⋮ Piterbarg theorems for chi-processes with trend

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