Explosive strong periodic autoregression with multiplicity one

DOI10.1016/j.jspi.2014.12.010zbMath1311.62031OpenAlexW2090216310MaRDI QIDQ2344392

Abdelhakim Aknouche

Publication date: 15 May 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2014.12.010

zbMATH Keywords

periodic autoregressionperiodic integrationperiodic stationarityasymptotic distribution of OLSEexplosive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items

Periodic autoregressive conditional duration

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