Deviation inequalities and moderate deviations for estimators of parameters in TAR models

被引：0
作者：
Jun Fan
Fuqing Gao
机构：
[1] Hebei University of Technology,School of Science
[2] Wuhan University,School of Mathematics and Statistics
来源：
Frontiers of Mathematics in China | 2011年 / 6卷
关键词：
Threshold autoregressive model; least square estimator; moderate deviations; logarithmic Sobolev inequality; 60F10; 62M10; 62F12;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we establish some deviation inequalities and the moderate deviation principles for the least squares estimators of the parameters in the threshold autoregressive model under the assumption that the noise random variable satisfies a logarithmic Sobolev inequality.
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页码：1067 / 1083
页数：16
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