Xiaochang Wang , Shui Feng , Yiping Guo , Bruno N. Rémillard
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Large deviations for the Yule–Walker estimator of near critical autoregressive processes
The large deviation principle is established for the Yule–Walker estimator of the near critical order one autoregressive process. The rate function is identified explicitly. Our result shows that, at the exponential scale, one cannot distinguish between near critical and the critical Yule–Walker estimators.
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