Large and moderate deviations upper bounds for the Gaussian autoregressive process

DOI10.1016/S0167-7152(00)00134-6MaRDI QIDQ5934105zbMATH OpenOpenAlexWikidataFDO

Authors Julien Worms

Publication date 25 November 2001

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(00)00134-6

zbMATH Keywords

autoregressive modelslarge and moderate deviations principlesleast-squares estimator

Mathematics Subject Classification ID

Large deviations (60F10) Martingales with discrete parameter (60G42)

Recommendations

• Moderate deviation principle for autoregressive processes
• On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
• Principes de déviations modérées pour des modèles autorégressifs d'ordre p
• scientific article; zbMATH DE number 3903655
• LARGE DEVIATION PRINCIPLE FOR THE SAMPLE COVARIANCE FUNCTION OF A FIRST ORDER AUTOREGRESSIVE PROCESS

Cites work

• A general class of exponential inequalities for martingales and ratios
• Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations
• scientific article; zbMATH DE number 512560 (Why is no real title available?)
• scientific article; zbMATH DE number 976356 (Why is no real title available?)
• Large deviations for quadratic forms of stationary Gaussian processes
• Large deviations for quadratic functionals of Gaussian processes
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Moderate deviations for stable Markov chains and regression models
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• On the large deviation principle for a quadratic functional of the autoregressive process
• Rate of convergence in distribution for the least square estimator in an autoregressive model (mixed case)
• Sharp large deviations for Gaussian quadratic forms with applications
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Cited in

(14)

• Large and moderate deviations for infinite-dimensional autoregressive processes.
• An exponential inequality for autoregressive processes in adaptive tracking
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• scientific article; zbMATH DE number 3903655 (Why is no real title available?)
• Principes de déviations modérées pour des modèles autorégressifs d'ordre p
• LARGE DEVIATION PRINCIPLE FOR THE SAMPLE COVARIANCE FUNCTION OF A FIRST ORDER AUTOREGRESSIVE PROCESS
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process
• Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
• On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
• Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations
• Cramér's moderate deviations for the LS estimator of the autoregressive processes in the neighborhood of the unit root
• Moderate deviation principle for autoregressive processes
• Exponential inequalities for self-normalized martingales with applications

This page was built for publication: Large and moderate deviations upper bounds for the Gaussian autoregressive process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5934105)