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Moderate deviations principles for autoregressive models of order p

Abstract : We establish Moderate deviations principles (MDP) for some stable autoregressive models of order p: first for continuous unbounded additive functionnals of this process, second for the estimation error of the regression function (least-squares estimator in the stable linear case, kernel estimator in the Lipschitz non-linear case). (C) Academie des Sciences/Elsevier, Paris.
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J Worms. Moderate deviations principles for autoregressive models of order p. Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 1999, 328 (1), pp.67--72. ⟨10.1016/S0764-4442(99)80014-7⟩. ⟨hal-00694253⟩

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