Title of article
Moderate deviations for quadratic forms in Gaussian stationary processes
Author/Authors
Kakizawa، نويسنده , , Yoshihide، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2007
Pages
26
From page
992
To page
1017
Abstract
Moderate deviations limit theorem is proved for quadratic forms in zero-mean Gaussian stationary processes. Two particular cases are the cumulative periodogram and the kernel spectral density estimator. We also derive the exponential decay of moderate deviation probabilities of goodness-of-fit tests for the spectral density and then discuss intermediate asymptotic efficiencies of tests.
Keywords
Toeplitz matrix , Kernel spectral density estimator , Quadratic forms , Moderate deviations , Gaussian stationary process , Spectral density , Cumulative periodogram
Journal title
Journal of Multivariate Analysis
Serial Year
2007
Journal title
Journal of Multivariate Analysis
Record number
1558682
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