Title of article :
Exponential inequalities for a strongly mixing autoregressive process
Author/Authors :
DAHMANI, ABDELNASSER University of Bejaia - Faculty of Exact Sciences - Laboratory of Applied Mathematics, Algeria , RAHMANI, SAMIR University of Bejaia - Faculty of Exact Sciences - Laboratory of Applied Mathematics, Algeria
Abstract :
In this work, we establish exponential inequalities of Bernstein-Frechet type that allow us to construct a confidence interval for the parameter of the first order autoregressive process under the strong mixing assumption. Using these inequalities, we show the almost complete convergence for the estimator of this parameter.
Keywords :
autoregressive process , confidence interval , convergence , exponential inequalities , strong mixing.
Journal title :
Kuwait Journal of Science
Journal title :
Kuwait Journal of Science
