Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
DOI10.3150/21-BEJ1432zbMath1498.60109OpenAlexW4293490225MaRDI QIDQ2676936
Hui Jiang, Yilong Wan, Guangyu Yang
Publication date: 28 September 2022
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-28/issue-4/Deviation-inequalities-and-Cram%c3%a9r-type-moderate-deviations-for-the-explosive/10.3150/21-BEJ1432.full
unit rootmultiple Wiener-Itô integralsCramér-type moderate deviationsdeviation inequalityexplosive autoregressive process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Large deviations (60F10) Asymptotic properties of parametric tests (62F05)
Related Items (3)
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