Large deviations for the Yule-Walker estimator of near critical autoregressive processes (Q6606010)
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scientific article; zbMATH DE number 7913925
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviations for the Yule-Walker estimator of near critical autoregressive processes |
scientific article; zbMATH DE number 7913925 |
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Large deviations for the Yule-Walker estimator of near critical autoregressive processes (English)
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16 September 2024
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The main result of the paper is the large deviations principle with the explicit rate function for the Yule-Walker estimator \N\[\N\hat{\phi}_n=\frac{\sum_{t=1}^nY_tY_{t-1}}{\sum_{t=0}^nY^2_t}\N\]\Nof some autoregressive process \({Y_t=(1-a_n)Y_{t-1}+e_t}.\) The result generalizes that of \textit{B. Bercu} et al. [Stochastic Processes Appl. 71, No. 1, 75--90 (1997; Zbl 0941.60050)] to the near critical regime.
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near critical autoregressive process
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Yule-Walker and OLS estimators
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unit root tests
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large deviation
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