Large deviations for the Yule–Walker estimator of near critical autoregressive processes

Xiaochang Wang, Shui Feng, Yiping Guo and Bruno N. Rémillard

Statistics & Probability Letters, 2024, vol. 214, issue C

Abstract: The large deviation principle is established for the Yule–Walker estimator of the near critical order one autoregressive process. The rate function is identified explicitly. Our result shows that, at the exponential scale, one cannot distinguish between near critical and the critical Yule–Walker estimators.

Keywords: Near critical autoregressive process; Yule–Walker and OLS estimators; Unit root tests; Large deviation (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110196

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