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Normal approximation and large deviations for the Robbins-Monro Process

✍ Scribed by Michael Woodroofe


Publisher
Springer
Year
1972
Tongue
English
Weight
433 KB
Volume
21
Category
Article
ISSN
1432-2064

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📜 SIMILAR VOLUMES


Large and moderate deviations upper boun
✍ Julien Worms 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 108 KB

We study the least-squares estimator in the scalar autoregressive model of order 1 with Gaussian noise and arbitrary ÿxed initial state. Upper bounds of both large and moderate deviations principles are achieved in the unstable and explosive frameworks. The moderate deviations results are consistent