a large deviation principle and an expression of the rate function for a discrete stationary gaussian process
;Olivier Faugeras;James MacLaurin
European journal of medicinal chemistry2014Vol. 16pp. 6722-6738
120
faugeras2014entropya
Abstract
We prove a large deviation principle for a stationary Gaussian process over Rb,indexed by Ζd (for some positive integers d and b), with positive definite spectral density, andprovide an expression of the corresponding rate function in terms of the mean of the processand its spectral density. This result is useful in applications where such an expression isneeded.