Moderate deviation principle in nonlinear bifurcating autoregressive models

作者：Penda S Valere Bitseki^*; Olivier Adelaide

来源：Statistics & Probability Letters, 2018, 138: 20-26.

DOI：10.1016/j.spl.2018.02.037

• Bifurcating Markov chain
• Binary tree
• Bifurcating autoregressive process
• Nonparametric estimation
• Nadaraya-Watson estimator
• Moderate deviation principle

Recently, nonparametric techniques have been proposed to study bifurcating autoregressive processes. One can build Nadaraya-Watson type estimators of the two autoregressive functions as in Bitseki Penda et al. (2017) and Bitseki Penda and Olivier (2017). In the present work, we prove moderate deviation principle for these estimators.

• 出版日期2018-7