Moderate deviations for stable Markov chains and regression models

DOI10.1214/EJP.V4-45MaRDI QIDQ1293638zbMATH OpenOpenAlexFDO

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, http://www.emis.de/journals/EJP-ECP/EjpVol4/paper8.abs.html

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)

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Cited in

(18)

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

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