Inference for unstable long-memory processes with applications to fractional unit root autoregressions (Q1914264)
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scientific article; zbMATH DE number 885114
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| English | Inference for unstable long-memory processes with applications to fractional unit root autoregressions |
scientific article; zbMATH DE number 885114 |
Statements
Inference for unstable long-memory processes with applications to fractional unit root autoregressions (English)
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31 July 1996
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least squares
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long-range dependence
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stochastic integral of fractional Brownian motion
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autoregressive time series
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characteristic roots
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unit circle
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asymptotic inferential schemes
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unstable autoregressive model
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long-memory innovations
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nonstationarity
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low-frequency phenomena
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novel weak convergence result
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unit roots
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fractional AR model
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0.8230984807014465
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0.817968487739563
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0.8145503997802734
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