Article ID Journal Published Year Pages File Type
1147140 Journal of Multivariate Analysis 2007 26 Pages PDF
Abstract

Moderate deviations limit theorem is proved for quadratic forms in zero-mean Gaussian stationary processes. Two particular cases are the cumulative periodogram and the kernel spectral density estimator. We also derive the exponential decay of moderate deviation probabilities of goodness-of-fit tests for the spectral density and then discuss intermediate asymptotic efficiencies of tests.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis