Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process

Details Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process

2012-01-17

arxiv.org/abs/1201.3579v1

Mathematics

Probability

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-97998