Moderate deviations in a class of stable but nearly unstable processes

DOI10.1016/j.jspi.2020.01.009zbMath1434.60095arXiv1905.02618OpenAlexW3003303194MaRDI QIDQ2306247

Frédéric Proïa

Publication date: 20 March 2020

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.02618

zbMATH Keywords

asymptotic behaviorunit rootmoderate deviation principlenearly unstable autoregressive processOLS estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Stationary stochastic processes (60G10) Large deviations (60F10)

Related Items (3)

Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process ⋮ Consistency and asymptotic normality in a class of nearly unstable processes ⋮ Moderate deviations for the mildly stationary autoregressive model with dependent errors

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