Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models

Details Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models

2012-04-11

arxiv.org/abs/1204.2355v1

Mathematics

Probability

41 pages

Scientific paper

The purpose of this paper is to investigate the deviation inequalities and
the moderate deviation principle of the least squares estimators of the unknown
parameters of general $p$th-order bifurcating autoregressive processes, under
suitable assumptions on the driven noise of the process. Our investigation
relies on the moderate deviation principle for martingales.

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