Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models
arXiv:1204.2355
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 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.
41 pages