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Deviation inequalities and moderate deviations for estimators of parameters in TAR models |
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| Authors: | Jun Fan Fuqing Gao |
| Institution: | 1. School of Science, Hebei University of Technology, Tianjin 300130, China; 2. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China |
| 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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