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A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process
- Source :
- Entropy, Volume 16, Issue 12, Pages 6722-6738, Entropy, 2014, pp.21. ⟨10.3390/e16126722⟩, Entropy, Vol 16, Iss 12, Pp 6722-6738 (2014), Entropy, MDPI, 2014, pp.21. ⟨10.3390/e16126722⟩
- Publication Year :
- 2014
- Publisher :
- Multidisciplinary Digital Publishing Institute, 2014.
-
Abstract
- International audience; 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.
- Subjects :
- General Physics and Astronomy
lcsh:Astrophysics
large deviation principle
Positive-definite matrix
01 natural sciences
Gaussian random field
010104 statistics & probability
symbols.namesake
lcsh:QB460-466
0101 mathematics
lcsh:Science
Gaussian process
Mathematics
stationary Gaussian process
[SCCO.NEUR]Cognitive science/Neuroscience
010102 general mathematics
Mathematical analysis
Spectral density
Expression (mathematics)
lcsh:QC1-999
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
symbols
spectral density
lcsh:Q
Rate function
lcsh:Physics
Subjects
Details
- Language :
- English
- ISSN :
- 10994300
- Database :
- OpenAIRE
- Journal :
- Entropy
- Accession number :
- edsair.doi.dedup.....d9aca8cafb52d0f36f68e58cd523c9cf
- Full Text :
- https://doi.org/10.3390/e16126722