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Advances in Decision SciencesVolume 2012 2012, Article ID 572919, 15 pages

Research ArticleFaculty of scince, Niigata University, 8050 Ikarashi 2-no-cho, Nishi-ku, Niigata 950-2181, Japan

Received 16 February 2012; Accepted 9 April 2012

Academic Editor: Kenichiro Tamaki

Copyright © 2012 Junichi Hirukawa. 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.


This paper discusses the large-deviation principle of discriminant statistics for Gaussian locally stationary processes. First, large-deviation theorems for quadratic forms and the log-likelihood ratio for a Gaussian locally stationary process with a mean function are proved. Their asymptotics are described by the large deviation rate functions. Second, we consider the situations where processes are misspecified to be stationary. In these misspecified cases, we formally make the log-likelihood ratio discriminant statistics and derive the large deviation theorems of them. Since they are complicated, they are evaluated and illustrated by numerical examples. We realize the misspecification of the process to be stationary seriously affecting our discrimination.

Autor: Junichi Hirukawa



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