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Moderate deviations for the Durbin–Watson statistic related to the first-order autoregressive process

S. Valère Bitseki Penda, Hacène Djellout, Frédéric Proïa (2014)

ESAIM: Probability and Statistics

The purpose of this paper is to investigate moderate deviations for the Durbin–Watson statistic associated with the stable first-order autoregressive process where the driven noise is also given by a first-order autoregressive process. We first establish a moderate deviation principle for both the least squares estimator of the unknown parameter of the autoregressive process as well as for the serial correlation estimator associated with the driven noise. It enables us to provide a moderate deviation...

Multivariate smooth transition AR model with aggregation operators and application to exchange rates

Tomáš Bacigál (2007)

Kybernetika

An overview of multivariate modelling based on logistic and exponential smooth transition models with transition variable generated by aggregation operators and orders of auto and exogenous regression selected by information criterion separately for each regime is given. Model specification procedure is demonstrated on trivariate exchange rates time series. The application results show satisfactory improvement in fit when particular aggregation operators are used. Source code in the form of Mathematica...

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