Moderate deviation principle for autoregressive processes

作者：Miao Yu^*; Shen Si

来源：Journal of Multivariate Analysis, 2009, 100(9): 1952-1961.

DOI：10.1016/j.jmva.2009.06.005

• Moderate deviation
• Autoregressive processes
• Least squares estimator
• Yule-Walker estimator

A moderate deviation principle for autoregressive processes is established. As statistical applications we provide the moderate deviation estimates of the least square and the Yule-Walker estimators of the parameter of an autoregressive process. The main assumption on the autoregressive process is the Gaussian integrability condition for the noise, which is weaker than the assumption of Logarithmic Sobolev Inequality in [H. Djellout, A. Guillin, L. Wu, Moderate deviations of empirical periodogram and nonlinear functionals of moving average processes, Ann. I. H. Poincare-PR 42 (2006) 393-416].

• 出版日期2009-10
• 单位河南师范大学; 中央民族大学