On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
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Publication:5937012
DOI10.2307/3318740zbMath0981.62072MaRDI QIDQ5937012
Publication date: 26 March 2002
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/de551cf82c784880fbaf011d85cc5e46c0041d57
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F10: Large deviations
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