MODERATE DEVIATIONS FOR THE DURBIN-WATSON STATISTIC ASSOCIATED TO THE STABLE p-ORDER AUTOREGRESSIVE PROCESS

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10) Central limit and other weak theorems (60F05)

Cites Work

Distribution of the Ratio of the Mean Square Successive Difference to the Variance
Title not available (Why is that?)
On a measure of lack of fit in time series models
Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
Exponential inequalities for self-normalized martingales with applications
Title not available (Why is that?)
Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
Moderate Deviations for I.I.D. Random Variables
Large deviations of semimartingales: A maxingale problem approach i. limits as solutions to a maxingale problem
Sur les déviations modérées des sommes de variables aléatoires vectorielles indépendantes de même loi. (On moderate deviations of sums of independent and identically distributed vector valued random variables)
On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications
Further results on the \(h\)-test of Durbin for stable autoregressive processes
The Power of the Durbin-Watson Test
Title not available (Why is that?)
Moderate deviations for stable Markov chains and regression models
Moderate deviations of some dependent variables. I: Martingales
Moderate deviations of some dependent variables. II: Some kernel estimators
Moderate deviations for martingales with bounded jumps
Moderate deviations for martingale differences and applications to φ -mixing sequences
Moderate deviations for \(m\)-dependent random variables with Banach space values
Moderate deviations for Markov chains with atom.
A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process
Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process

Cited In (2)

The Durbin-Watson statistic to estimate the instantaneous variance of non-stationary stochastic processes with ARMA structure for noise process
A sharp analysis on the asymptotic behavior of the Durbin–Watson statistic for the first-order autoregressive process

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