Bernstein inequality for the parameter of the pth order autoregressive process AR(p)

DOI10.4064/AM33-3-1MaRDI QIDQ3419232zbMATH OpenOpenAlexFDO

Authors Samir Benaissa

Publication date 6 February 2007

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am33-3-1

zbMATH Keywords

exponential inequalitiesautoregressive processlinear processlimiting distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30) Probability theory on linear topological spaces (60B11) Inequalities; stochastic orderings (60E15) Strong limit theorems (60F15)

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• On an ARB model from a process with fixed bounded memory

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