PATH INTEGRAL METHOD FOR LIMITING DISTRIBUTION OF AN ESTIMATOR ARISING FROM AN AR(1)-PROCESS WITH A UNIT ROOT

DOI10.1142/S021902571350029XzbMath1284.28010MaRDI QIDQ5401579

Shih-Feng Huang, Hsin-Hung Shih, Yuh-Jia Lee

Publication date: 10 March 2014

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

zbMATH Keywords

path-integral methodunit root testclassical Wiener space

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Approximations to statistical distributions (nonasymptotic) (62E17) Measures and integration on abstract linear spaces (46G12) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cites Work

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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Exact formulas of certain functional integrals on wiener spaces
• Inversion Formulae for the Distribution of Ratios

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