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

作者：Miao, Yu; Wang, Yanling; Yang, Guangyu^*

来源：Scandinavian Journal of Statistics, 2015, 42(1): 234-255.

DOI：10.1111/sjos.12104

• autoregressive model
• empirical covariance
• moderate deviation principles
• unit root

In this paper, we consider the linear autoregressive model with varying coefficients (n)[0,1). When (n) 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 (n).

• 出版日期2015-3
• 单位郑州大学; 河南师范大学