Large deviations for stationary Gaussian processes

M. D. Donsker; S. R.S. Varadhan

doi:10.1007/BF01206186

Large deviations for stationary Gaussian processes

M. D. Donsker, S. R.S. Varadhan

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

In their previous work on large deviations the authors always assumed the base process to be Markovian whereas here they consider the base process to be stationary Gaussian. Similar large deviation results are obtained under natural hypotheses on the spectral density function of the base process. A rather explicit formula for the entropy involved is also obtained.

Original language	English (US)
Pages (from-to)	187-210
Number of pages	24
Journal	Communications In Mathematical Physics
Volume	97
Issue number	1-2
DOIs	https://doi.org/10.1007/BF01206186
State	Published - Mar 1985

ASJC Scopus subject areas

Statistical and Nonlinear Physics
Mathematical Physics

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10.1007/BF01206186

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title = "Large deviations for stationary Gaussian processes",

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Large deviations for stationary Gaussian processes

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