Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process - Archive ouverte HAL
Article Dans Une Revue Statistics and Probability Letters Année : 2014

Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process

Résumé

The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.
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Dates et versions

hal-00921152 , version 1 (19-12-2013)
hal-00921152 , version 2 (20-12-2013)

Identifiants

Citer

Marina Kleptsyna, Alain Le Breton, Bernard Ycart. Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process. Statistics and Probability Letters, 2014, 87, pp.70-75. ⟨10.1016/j.spl.2013.12.023⟩. ⟨hal-00921152v2⟩
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