On limiting distributions in explosive autoregressive processes
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Publication:1379906
DOI10.1016/S0167-7152(97)00111-9zbMath0909.62011MaRDI QIDQ1379906
Piotr W. Mikulski, Michael J. Monsour
Publication date: 8 April 1999
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (4)
Decomposition of an autoregressive process into first order processes ⋮ Sequential fixed accuracy estimation for nonstationary autoregressive processes ⋮ Asymptotics of regressions with stationary and nonstationary residuals. ⋮ Explosive strong periodic autoregression with multiplicity one
Cites Work
- Limiting distributions of least squares estimates of unstable autoregressive processes
- On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
- Estimation of the parameters of stochastic difference equations
- Asymptotic properties of dynamic stochastic parameter estimates. III
- Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Orthonormal Banach systems with applications to linear processes
- Matrix Analysis
- On the Statistical Treatment of Linear Stochastic Difference Equations
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