Moderate deviations principles for autoregressive models of order p
Résumé
We establish Moderate deviations principles (MDP) for some stable autoregressive models of order p: first for continuous unbounded additive functionnals of this process, second for the estimation error of the regression function (least-squares estimator in the stable linear case, kernel estimator in the Lipschitz non-linear case). (C) Academie des Sciences/Elsevier, Paris.