Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root
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Publication:5177960
DOI10.1111/sjos.12104zbMath1376.60052OpenAlexW1574119158MaRDI QIDQ5177960
Guangyu Yang, Yu Miao, Yan-Ling Wang
Publication date: 9 March 2015
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/sjos.12104
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)
Related Items
Limit theory for moderate deviations from a unit root with a break in variance, Asymptotic inference of least absolute deviation estimation for AR(1) processes, Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process, Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient, Least absolute deviation estimation for AR(1) processes with roots close to unity, Consistency and asymptotic normality in a class of nearly unstable processes, Moderate deviations for the mildly stationary autoregressive model with dependent errors, Moderate deviation principle for \(m\)-dependent random variables, Moderate deviations in a class of stable but nearly unstable processes, Asymptotic distribution with random indices for linear processes, Almost sure central limit theorems for m-dependent random variables
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