Moderate deviation principle for autoregressive processes

Miao Yu and Shen Si

Journal of Multivariate Analysis, 2009, vol. 100, issue 9, 1952-1961

Abstract: A moderate deviation principle for autoregressive processes is established. As statistical applications we provide the moderate deviation estimates of the least square and the Yule-Walker estimators of the parameter of an autoregressive process. The main assumption on the autoregressive process is the Gaussian integrability condition for the noise, which is weaker than the assumption of Logarithmic Sobolev Inequality in [H. Djellout, A. Guillin, L. Wu, Moderate deviations of empirical periodogram and nonlinear functionals of moving average processes, Ann. I. H. Poincaré-PR 42 (2006) 393-416].

Keywords: Moderate; deviation; Autoregressive; processes; Least; squares; estimator; Yule-Walker; estimator (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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