Rate of convergence in distribution for the least square estimator in an autoregressive model (mixed case) (Q1917685)
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scientific article; zbMATH DE number 898060
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| English | Rate of convergence in distribution for the least square estimator in an autoregressive model (mixed case) |
scientific article; zbMATH DE number 898060 |
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Rate of convergence in distribution for the least square estimator in an autoregressive model (mixed case) (English)
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17 February 1997
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The work refers to the study of the asymptotic behaviour, in distribution of the approximation of the smallest square roots for a self-regressive \(p\)-dimensional model of order 1, ARp(1). This model has a polynomial characteristic with no square roots, decomposing ARp(1) model in two self-regressive models: an explosive one, and a stable one.
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asymptotic behaviour
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self-regressive
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0.8005377054214478
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0.8003854751586914
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