Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes
Year: 2015
Type: preprint
Abstract: The Gärtner-Ellis condition for the square of an asymptotically stationary Gaussian process is established. The same limit holds for the conditional distri-bution given any fixed initial point, which entails weak multiplicative ergodicity. The limit is shown to be the Laplace transform of a convolution of Gamma distributions with Poisson compound of exponentials. A proof based on Wiener-Hopf factorization induces a probabilistic interpretation of the limit in terms of a regression problem.
Source: arXiv (Cornell University)
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2951744115