Large-Deviation Results for Discriminant Statistics of Gaussian Locally Stationary Processes
Author
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-07-04
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Economics & Business Administration
Business Administration
Abstract EN
This paper discusses the large-deviation principle of discriminant statistics for Gaussian locally stationary processes.
First, large-deviation theorems for quadratic forms and the log-likelihood ratio for a Gaussian locally stationary process with a mean function are proved.
Their asymptotics are described by the large deviation rate functions.
Second, we consider the situations where processes are misspecified to be stationary.
In these misspecified cases, we formally make the log-likelihood ratio discriminant statistics and derive the large deviation theorems of them.
Since they are complicated, they are evaluated and illustrated by numerical examples.
We realize the misspecification of the process to be stationary seriously affecting our discrimination.
American Psychological Association (APA)
Hirukawa, Junichi. 2012. Large-Deviation Results for Discriminant Statistics of Gaussian Locally Stationary Processes. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-481819
Modern Language Association (MLA)
Hirukawa, Junichi. Large-Deviation Results for Discriminant Statistics of Gaussian Locally Stationary Processes. Advances in Decision Sciences No. 2012 (2012), pp.1-15.
https://search.emarefa.net/detail/BIM-481819
American Medical Association (AMA)
Hirukawa, Junichi. Large-Deviation Results for Discriminant Statistics of Gaussian Locally Stationary Processes. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-15.
https://search.emarefa.net/detail/BIM-481819
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-481819