Browsing Exact and Earth Sciences by Subject "Yule-Walker estimator"
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Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations
(2023) [Journal article]We investigate the large deviations properties for centered stationary AR(1) and MA(1) processes with independent Gaussian innovations, by giving the explicit bivariate rate functions for the sequence of two-dimensional ...