Journal article
Large deviations for the Yule–Walker estimator of near critical autoregressive processes
Abstract
The large deviation principle is established for the Yule–Walker estimator of the near critical order one autoregressive process. The rate function is identified explicitly. Our result shows that, at the exponential scale, one cannot distinguish between near critical and the critical Yule–Walker estimators.
Authors
Wang X; Feng S; Guo Y; Rémillard BN
Journal
Statistics & Probability Letters, Vol. 214, ,
Publisher
Elsevier
Publication Date
11 2024
DOI
10.1016/j.spl.2024.110196
ISSN
0167-7152