Moderate deviations principle for empirical covariance from a unit root

Abstract: In the present paper, we consider the linear autoregressive model in $\rr$, $$ X_{k,n}=\theta_n X_{k,n-1}+\xi_k, k=0,1,...,n, n\ge 1$$ where $\theta_n\in [0,1)$ is unknown, $(\xi_k)_{k\in\zz}$ is a sequence of centered i.i.d. r.v. valued in $\rr$ representing the noise. When $\theta_n\to 1$, the moderate deviations principle for empirical covariance is discussed and as statistical applications we provide the moderate deviation estimates of the least square and the Yule-Walker estimators of the parameter $\theta_n$.