A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process
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 re...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2014-12-01
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| Series: | Entropy |
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| Online Access: | http://www.mdpi.com/1099-4300/16/12/6722 |
| _version_ | 1811304079378350080 |
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| author | Olivier Faugeras James MacLaurin |
| author_facet | Olivier Faugeras James MacLaurin |
| author_sort | Olivier Faugeras |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-13T08:00:31Z |
| format | Article |
| id | doaj.art-cc51b7ccbf0a4952973c54ad53f358db |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-04-13T08:00:31Z |
| publishDate | 2014-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-cc51b7ccbf0a4952973c54ad53f358db2022-12-22T02:55:18ZengMDPI AGEntropy1099-43002014-12-0116126722673810.3390/e16126722e16126722A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian ProcessOlivier Faugeras0James MacLaurin1INRIA Sophia Antipolis Mediterannee, 2004 Route Des Lucioles, Sophia Antipolis, FranceINRIA Sophia Antipolis Mediterannee, 2004 Route Des Lucioles, Sophia Antipolis, FranceWe 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.http://www.mdpi.com/1099-4300/16/12/6722stationary Gaussian processlarge deviation principlespectral density |
| spellingShingle | Olivier Faugeras James MacLaurin A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process Entropy stationary Gaussian process large deviation principle spectral density |
| title | A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process |
| title_full | A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process |
| title_fullStr | A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process |
| title_full_unstemmed | A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process |
| title_short | A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process |
| title_sort | large deviation principle and an expression of the rate function for a discrete stationary gaussian process |
| topic | stationary Gaussian process large deviation principle spectral density |
| url | http://www.mdpi.com/1099-4300/16/12/6722 |
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