NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS

DOI10.1111/JTSA.12083zbMath1311.62148OpenAlexW3121777760MaRDI QIDQ5176865

Offer Lieberman, Peter C. B. Phillips

Publication date: 4 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1835

zbMATH Keywords

consistencysimilaritynonlinear diffusionstochastic unit roottime-varying coefficientsautoregressionnon-stationaritysmall-sigma approximation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Non-Markovian processes: hypothesis testing (62M07)

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