| Autor: |
Penda, S. Valère Bitseki, Djellout, Hacène, Proïa, Frédéric |
| Rok vydání: |
2012 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
The purpose of this paper is to investigate moderate deviations for the Durbin-Watson statistic associated with the stable first-order autoregressive process where the driven noise is also given by a first-order autoregressive process. We first establish a moderate deviation principle for both the least squares estimator of the unknown parameter of the autoregressive process as well as for the serial correlation estimator associated with the driven noise. It enables us to provide a moderate deviation principle for the Durbin-Watson statistic in the easy case where the driven noise is normally distributed and in the more general case where the driven noise satisfies a less restrictive Chen-Ledoux type condition. |
| Databáze: |
arXiv |
| Externí odkaz: |
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