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Open AccessArticle

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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Entropy 2014, 16(12), 6722-6738; https://doi.org/10.3390/e16126722
Received: 3 November 2014 / Revised: 17 December 2014 / Accepted: 18 December 2014 / Published: 22 December 2014
(This article belongs to the Section Statistical Physics)
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
MDPI and ACS Style

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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