Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root

Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root

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Article ID: iaor201523751
Volume: 42
Issue: 1
Start Page Number: 234
End Page Number: 255
Publication Date: Mar 2015
Journal: Scandinavian Journal of Statistics
Authors: , ,
Keywords: statistics: regression, statistics: general
Abstract:

In this paper, we consider the linear autoregressive model with varying coefficients θn∈[0,1). When θn tending to the unit root, the moderate deviation principle for empirical covariance is discussed, and as statistical applications, we provide the moderate deviation estimates of the least square and the Yule–Walker estimators of the parameter θn.

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