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Entropy 2014, 16(12), 6722-6738; doi:10.3390/e16126722

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

INRIA Sophia Antipolis Mediterannee, 2004 Route Des Lucioles, Sophia Antipolis, France
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Received: 3 November 2014 / Revised: 17 December 2014 / Accepted: 18 December 2014 / Published: 22 December 2014
(This article belongs to the Section Statistical Mechanics)
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Abstract

We prove a large deviation principle for a stationary Gaussian process over Rb,indexed by Ζd (for some positive integers d and b), with positive definite spectral density, andprovide an expression of the corresponding rate function in terms of the mean of the processand its spectral density. This result is useful in applications where such an expression isneeded. View Full-Text
Keywords: stationary Gaussian process; large deviation principle; spectral density stationary Gaussian process; large deviation principle; spectral density
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Faugeras, O.; MacLaurin, J. A Large Deviation Principle and an Expression of the Rate Function for a Discrete Stationary Gaussian Process. Entropy 2014, 16, 6722-6738.

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