Cramér’s moderate deviations for the LS estimator of the autoregressive processes in the neighborhood of the unit root. (English) Zbl 1541.62229
Summary: In this paper, we consider the linear autoregressive model with varying coefficients \(\theta_n\) tending to the unit root. Cramér’s moderate deviations of the least-squares estimator of the parameter \(\theta_n\) is discussed.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 60F10 | Large deviations |
References:
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