Deviation inequalities and moderate deviations for estimators of parameters in TAR models

DOI10.1007/s11464-011-0118-9zbMath1397.60049OpenAlexW2059259966MaRDI QIDQ1946946

Jun Fan, Fu Qing Gao

Publication date: 10 April 2013

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-011-0118-9

zbMATH Keywords

logarithmic Sobolev inequalitymoderate deviationsleast square estimatorthreshold autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inequalities; stochastic orderings (60E15) Large deviations (60F10)

Related Items (4)

Deviation properties for linear self-attracting diffusion process and applications ⋮ Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ Moderate deviations for estimators under exponentially stochastic differentiability conditions ⋮ Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process

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