Publication Cover
Statistics
A Journal of Theoretical and Applied Statistics
Volume 44, 2010 - Issue 2
65
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Large deviation results on some estimators for stationary Gaussian processes

&
Pages 129-144 | Received 10 Mar 2008, Published online: 17 Jun 2009

References

  • Dembo , A. and Zeitouni , O. 1998 . Large Deviations Techniques and Applications , 2 , New York : Springer .
  • Ganesh , A. and O'Connell , N. 1999 . An inverse of Sanov's Theorem . Statist. Probab. Lett. , 42 : 201 – 206 .
  • Ganesh , A. and O'Connell , N. 2000 . A large deviation principle for Dirichlet posteriors . Bernoulli , 6 : 1021 – 1034 .
  • Macci , C. and Petrella , L. in press . Censored exponential data: large deviations for MLEs and posterior distributions . Comm. Statist. Theory Methods ,
  • Macci , C. and Petrella , L. 2006 . Mixtures of conjugate prior distributions and large deviations for level crossing probabilities . Sankhy , 68 : 61 – 89 .
  • Taniguchi , M. and Kakizawa , Y. 2000 . Asymptotic Theory of Statistical Inference for Time Series , New York : Springer .
  • Fan , J. and Yao , Q. 2003 . Nonlinear Time Series , New York : Springer .
  • Robinson , P. M. 2003 . Time Series with Long Memory , Edited by: Robinson , P. M. Oxford : Oxford University Press .
  • Doukhan , P. , Oppenheim , G. and Taqqu , M. S. 2003 . Theory and Applications of Long-range Dependence , Edited by: Doukhan , P. , Oppenheim , G. and Taqqu , M. S. Boston : Birkhäuser .
  • Sato , T. , Kakizawa , Y. and Taniguchi , M. 1998 . Large deviation results for statistics of short- and long-memory Gaussian processes . Aust. N. Z. J. Statist. , 40 : 17 – 29 .
  • Gubner , J. A. 2005 . Theorems and fallacies in the theory of long-range-dependent processes . IEEE Trans. Inform. Theory , 51 : 1234 – 1239 .
  • Cover , T. M. and Thomas , J. A. 1991 . Elements of Information Theory , New York : Wiley .
  • Anderson , T. W. 1971 . The Statistical Analysis of Time Series , New York : Wiley .
  • Yajima , Y. 1988 . On estimation of a regression model with long-memory stationary errors . Ann. Statist. , 16 : 791 – 807 .
  • DeGroot , M. H. 1970 . Optimal Statistical Decisions , New York : McGraw-Hill .
  • Duffy , K. , Lewis , J. T. and Sullivan , W. G. 2003 . Logarithmic asymptotics for the supremum of a stochastic processes . Ann. Appl. Probab. , 13 : 430 – 445 .
  • Lynch , J. and Sethuraman , J. 1987 . Large deviations for processes with independent increments . Ann. Probab. , 15 : 610 – 627 .
  • Gantert , N. 1998 . Functional Erdös-Renyi laws for semiexponential random variables . Ann. Probab. , 26 : 1356 – 1369 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.