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Sharp large deviations for Gaussian quadratic forms with applications

Bernard BercuFabrice GamboaMarc Lavielle — 2010

ESAIM: Probability and Statistics

Under regularity assumptions, we establish a sharp large deviation principle for Hermitian quadratic forms of stationary Gaussian processes. Our result is similar to the well-known Bahadur-Rao theorem [2] on the sample mean. We also provide several examples of application such as the sharp large deviation properties of the Neyman-Pearson likelihood ratio test, of the sum of squares, of the Yule-Walker estimator of the parameter of a stable autoregressive Gaussian process, and finally of the empirical...

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