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Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root |
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| Authors: | Yu Miao Yanling Wang Guangyu Yang |
| Affiliation: | 1. College of Mathematics and Information ScienceHenan Normal University;2. School of Mathematics and StatisticsZhengzhou University |
| Abstract: | In this paper, we consider the linear autoregressive model with varying coefficients θn∈[0,1). When θn tending to the unit root, the moderate deviation principle for empirical covariance is discussed, and as statistical applications, we provide the moderate deviation estimates of the least square and the Yule–Walker estimators of the parameter θn. |
| Keywords: | autoregressive model empirical covariance moderate deviation principles unit root |