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.