Large and moderate deviations upper bounds for the Gaussian autoregressive process

DOI10.1016/S0167-7152(00)00134-6zbMath0972.60012OpenAlexW2003848332WikidataQ126865100 ScholiaQ126865100MaRDI QIDQ5934105

Julien Worms

Publication date: 25 November 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00134-6

zbMATH Keywords

autoregressive modelslarge and moderate deviations principlesleast-squares estimator

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Large deviations (60F10)

Related Items (5)

Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process ⋮ Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process ⋮ An exponential inequality for autoregressive processes in adaptive tracking ⋮ Exponential inequalities for self-normalized martingales with applications ⋮ Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root

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• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Sharp large deviations for Gaussian quadratic forms with applications

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