Moderate deviations for stable Markov chains and regression models

DOI10.1214/EJP.V4-45zbMATH Open0980.62082OpenAlexW2019438113MaRDI QIDQ1293638FDOQ1293638

Authors: Julien Worms 

Publication date: 8 July 1999

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/121622

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zbMATH Keywords

martingalesmoderate deviationsleast squares estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited In (18)

• Exponential inequalities for self-normalized martingales with applications
• Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
• Cramér's moderate deviations for the LS estimator of the autoregressive processes in the neighborhood of the unit root
• Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models
• Moderate deviations for quantile regression processes
• Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
• Moderate deviations of some dependent variables. II: Some kernel estimators
• Moderate deviations for the mildly stationary autoregressive model with dependent errors
• MODERATE DEVIATIONS FOR THE DURBIN-WATSON STATISTIC ASSOCIATED TO THE STABLE p-ORDER AUTOREGRESSIVE PROCESS
• Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
• Deviation inequalities, moderate deviations and some limit theorems for bifurcating Markov chains with application
• Moderate deviations in a class of stable but nearly unstable processes
• On non-ergodic asset prices
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Moderate deviations of functional of Markov Processes
• Moderate deviations and the law of iterated logarithm for LSE in linear model
• Large and moderate deviations upper bounds for the Gaussian autoregressive process
• Moderate deviation principle for autoregressive processes

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