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

Abstract

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.

Keywords

Threshold autoregressive model / least square estimator / moderate deviations / logarithmic Sobolev inequality

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