Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147140 | Journal of Multivariate Analysis | 2007 | 26 Pages |
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