Moderate deviation principle in nonlinear bifurcating autoregressive models

S. Valère Bitseki Penda and Adélaïde Olivier

Statistics & Probability Letters, 2018, vol. 138, issue C, 20-26

Abstract: Recently, nonparametric techniques have been proposed to study bifurcating autoregressive processes. One can build Nadaraya–Watson type estimators of the two autoregressive functions as in Bitseki Penda et al. (2017) and Bitseki Penda and Olivier (2017). In the present work, we prove moderate deviation principle for these estimators.

Keywords: Bifurcating Markov chain; Binary tree; Bifurcating autoregressive process; Nonparametric estimation; Nadaraya–Watson estimator; Moderate deviation principle (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2018.02.037

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