1996 年 26 巻 2 号 p. 209-220
This paper describes a large deviation principle for the sample covariance function nΣi=1XiXi-1/n of a first order non-explosive Gaussian autoregressive process with unknown autoregressive parameter θ, the rate function is also provided. The asymptotic rate of convergence of the tail probability of the sample covariance function is also studied.