Moderate deviations for the Durbin–Watson statistic related to the first-order autoregressive process

DOI10.1051/ps/2013038zbMath1312.60034arXiv1201.3579OpenAlexW2089867123MaRDI QIDQ5174356

Frédéric Proïa, S. Valère Bitseki Penda, Hacène Djellout

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.3579

zbMATH Keywords

serial correlationDurbin-Watson statisticmoderate deviations principlefirst-order autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Nonparametric estimation (62G05) Large deviations (60F10) Limit theorems in probability theory (60F99)

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