Moderate deviations for the mildly stationary autoregressive model with dependent errors

DOI10.1080/02331888.2023.2278034arXiv1510.02862OpenAlexW4388414348MaRDI QIDQ6192198

Mingming Yu, Guangyu Yang, Hui Jiang

Publication date: 12 February 2024

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.02862

zbMATH Keywords

moderate deviationsDurbin-Watson statisticmartingale differencemildly stationary autoregressive processes

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Martingales with discrete parameter (60G42) Large deviations (60F10)

Cites Work

• Unnamed Item
• Limit theory for moderate deviations from a unit root
• Least squares estimation for Ornstein-Uhlenbeck processes driven by the weighted fractional Brownian motion
• Delta method in large deviations and moderate deviations for estimators
• Moderate deviations for parameter estimators in fractional Ornstein-Uhlenbeck process
• Moderate deviation principle for autoregressive processes
• Exponential inequalities for self-normalized martingales with applications
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Asymptotic inference for nearly nonstationary AR(1) processes
• Moderate deviations for stable Markov chains and regression models
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Moderate deviations for \(m\)-dependent random variables with Banach space values
• Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
• Moderate deviations in a class of stable but nearly unstable processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Moderate deviations for martingale differences and applications to φ -mixing sequences
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Large deviations of semimartingales: A maxingale problem approach i. limits as solutions to a maxingale problem
• Moderate Deviations for I.I.D. Random Variables
• Regression Theory for Near-Integrated Time Series
• Moderate deviations for the Durbin–Watson statistic related to the first-order autoregressive process
• Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root
• Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process
• On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases