Time series: theory and methods
Time series: theory and methods
The spectral analysis of time series
The spectral analysis of time series
Asymptotic theory of statistical inference
Asymptotic theory of statistical inference
Time series: data analysis and theory
Time series: data analysis and theory
Large deviations for quadratic forms of locally stationary processes
Journal of Multivariate Analysis
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Moderate deviations limit theorem is proved for quadratic forms in zero-mean Gaussian stationary processes. Two particular cases are the cumulative periodogram and the kernel spectral density estimator. We also derive the exponential decay of moderate deviation probabilities of goodness-of-fit tests for the spectral density and then discuss intermediate asymptotic efficiencies of tests.