Conditions of Local Asymptotic Normality for Gaussian Stationary Processes |
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Authors: | V. N. Solev A. Zerbet |
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Affiliation: | (1) St.Petersburg Department of the, Steklov Mathematical Institute, Russia;(2) Bordeaux-2, France |
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Abstract: | Let {bold x}[] be a stationary Gaussian process with zero mean and spectral density f, let be the -algebra induced by the random variables {bold x}[], D(R1), and let t, t > 0, be the -algebra induced by the random variables x[],supp [-t,t]. Denote by (f) the Gaussian measure on generated by {bold x}. Let t(f) be the restriction of (f) to t. Let f and g be nonnegative functions such that the measures t(f) and t(g) are absolutely continuous. Put For a fixed g(u) and for f(u)= ft(u) close to g(u) in some sense, the asymptotic normality of t(f,g) is proved under some regularity conditions. Bibliography: 14 titles. |
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