On large deviations of empirical measures for stationary Gaussian processes

We show that the large deviation principle with respect to the weak topology holds for the empirical measure of any stationary continuous-time Gaussian process with continuous vanishing at infinity spectral density. We also point out that large deviation principle might fail in both continuous and discrete time if the spectral density is discontinuous.

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Year of publication:	1995
Authors:	Bryc, Wlodzimierz ; Dembo, Amir
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 58.1995, 1, p. 23-34
Publisher:	Elsevier
Keywords:	Large deviations Empirical measure Gaussian processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873174