Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root

Yu Miao, Yanling Wang and Guangyu Yang

Scandinavian Journal of Statistics, 2015, vol. 42, issue 1, 234-255

Abstract: type="main" xml:id="sjos12104-abs-0001"> In this paper, we consider the linear autoregressive model with varying coefficients θ n ∈[0,1). When θ n tending to the unit root, the moderate deviation principle for empirical covariance is discussed, and as statistical applications, we provide the moderate deviation estimates of the least square and the Yule–Walker estimators of the parameter θ n .

Date: 2015
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