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

DOI10.17654/TS053060349MaRDI QIDQ5076261zbMATH OpenOpenAlexFDO

Authors Yacouba Samoura

Publication date 16 May 2022

Published in Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/ts053060349

zbMATH Keywords

serial correlationmoderate deviationsDurbin-Watson statistic\(p\)-order autoregressive process

Mathematics Subject Classification ID

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

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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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