ON THE LARGE DEVIATION PRINCIPLE FOR A QUADRATIC FUNCTIONAL OF THE AUTOREGRESSIVE PROCESS

被引：16

作者：

BRYC, W

SMOLENSKI, W

机构：

[1] UNIV CINCINNATI,DEPT MATH,CINCINNATI,OH 45221

[2] UNIV KANSAS,DEPT MATH,LAWRENCE,KS 66045

来源：

关键词：

LARGE DEVIATIONS; DISCRETE STOCHASTIC CONTROL; QUADRATIC COST;

D O I：

10.1016/0167-7152(93)90203-U

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For the sum of squares of an autoregressive system, the large deviation principle with the explicit rate function is established.

引用

页码：281 / 285

页数：5