A large deviation principle and an expression of the rate function for a discrete stationary Gaussian process

Olivier Faugeras; James MacLaurin

doi:10.3390/e16126722

A large deviation principle and an expression of the rate function for a discrete stationary Gaussian process

Research output: Contribution to journal › Article › peer-review

Abstract

We prove a large deviation principle for a stationary Gaussian process over R{double-struck}^b, indexed by Z{double-struck}^d (for some positive integers d and b), with positive definite spectral density, and provide an expression of the corresponding rate function in terms of the mean of the process and its spectral density. This result is useful in applications where such an expression is needed.

Original language	English (US)
Pages (from-to)	6722-6738
Number of pages	17
Journal	Entropy
Volume	16
Issue number	12
DOIs	https://doi.org/10.3390/e16126722
State	Published - 2014
Externally published	Yes

All Science Journal Classification (ASJC) codes

General Physics and Astronomy

Keywords

Large deviation principle
Spectral density
Stationary gaussian process

Access to Document

10.3390/e16126722

Cite this

@article{ddb398af72434c67beac8fd1fb63463f,

title = "A large deviation principle and an expression of the rate function for a discrete stationary Gaussian process",

abstract = "We prove a large deviation principle for a stationary Gaussian process over R{double-struck}b, indexed by Z{double-struck}d (for some positive integers d and b), with positive definite spectral density, and provide an expression of the corresponding rate function in terms of the mean of the process and its spectral density. This result is useful in applications where such an expression is needed.",

keywords = "Large deviation principle, Spectral density, Stationary gaussian process",

author = "Olivier Faugeras and James MacLaurin",

note = "Publisher Copyright: {\textcopyright} 2014 by the authors.",

year = "2014",

doi = "10.3390/e16126722",

language = "English (US)",

volume = "16",

pages = "6722--6738",

journal = "Entropy",

issn = "1099-4300",

publisher = "Multidisciplinary Digital Publishing Institute (MDPI)",

number = "12",

}

TY - JOUR

T1 - A large deviation principle and an expression of the rate function for a discrete stationary Gaussian process

AU - Faugeras, Olivier

AU - MacLaurin, James

PY - 2014

Y1 - 2014

N2 - We prove a large deviation principle for a stationary Gaussian process over R{double-struck}b, indexed by Z{double-struck}d (for some positive integers d and b), with positive definite spectral density, and provide an expression of the corresponding rate function in terms of the mean of the process and its spectral density. This result is useful in applications where such an expression is needed.

AB - We prove a large deviation principle for a stationary Gaussian process over R{double-struck}b, indexed by Z{double-struck}d (for some positive integers d and b), with positive definite spectral density, and provide an expression of the corresponding rate function in terms of the mean of the process and its spectral density. This result is useful in applications where such an expression is needed.

KW - Large deviation principle

KW - Spectral density

KW - Stationary gaussian process

UR - http://www.scopus.com/inward/record.url?scp=84920896796&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84920896796&partnerID=8YFLogxK

U2 - 10.3390/e16126722

DO - 10.3390/e16126722

M3 - Article

AN - SCOPUS:84920896796

SN - 1099-4300

VL - 16

SP - 6722

EP - 6738

JO - Entropy

JF - Entropy

IS - 12

ER -

A large deviation principle and an expression of the rate function for a discrete stationary Gaussian process

Abstract

All Science Journal Classification (ASJC) codes

Keywords

Access to Document

Other files and links

Fingerprint

Cite this