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

Hacène Djellout; Valère Bitseki Penda

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arXiv · 1204.2355

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

Hacène Djellout·Valère Bitseki Penda

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Abstract

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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BibTeX RIS

Hacène Djellout, Valère Bitseki Penda. 2012-04-11. Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models. https://arxiv.org/abs/1204.2355

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