Principes de déviations modérées pour des modèles autorégressifs d'ordre p

DOI10.1016/S0764-4442(99)80014-7MaRDI QIDQ4238010zbMATH OpenOpenAlexFDO

Authors Julien Worms

Publication date 13 April 1999

Published in Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0764-4442(99)80014-7

zbMATH Keywords

autoregressive modelsmoderate deviations principles

Mathematics Subject Classification ID

Large deviations (60F10) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(9)

• Moderate deviation principle in nonlinear bifurcating autoregressive models
• Moderate deviations of some dependent variables. II: Some kernel estimators
• Moderate deviations in a class of stable but nearly unstable processes
• Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
• Moderate deviation principles for moving average processes of real stationary sequences
• Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models
• Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process
• Large and moderate deviations upper bounds for the Gaussian autoregressive process
• Moderate deviation principle for autoregressive processes

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