Cramér's moderate deviations for the LS estimator of the autoregressive processes in the neighborhood of the unit root

DOI10.1016/j.spl.2024.110093zbMath1541.62229MaRDI QIDQ6569432

Qing Yin, Yu Miao

Publication date: 9 July 2024

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

zbMATH Keywords

unit rootautoregressive processesCramér's moderate deviations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)

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