A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process

Entropy

Olivier Faugeras¹ 

[1] INRIA Sophia Antipolis Mediterannee, 2004 Route Des Lucioles, Sophia Antipolis, France; E-Mail

关键词: stationary Gaussian process;    large deviation principle;    spectral density;   

DOI  :  10.3390/e16126722

来源: mdpi

【 摘 要 】

We prove a large deviation principle for a stationary Gaussian process over ℝ^b indexed by ℤ^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.

【 授权许可】

CC BY   
© 2014 by the authors; licensee MDPI, Basel, Switzerland