Unified asymptotic theory for nearly unstable AR(\(p\)) processes (Q1940239)
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scientific article; zbMATH DE number 6142015
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| English | Unified asymptotic theory for nearly unstable AR(\(p\)) processes |
scientific article; zbMATH DE number 6142015 |
Statements
Unified asymptotic theory for nearly unstable AR(\(p\)) processes (English)
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6 March 2013
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fractional Brownian motion
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Jordan canonical form
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least squares
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Lévy areas
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nearly unstable autoregressive models
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unit root tests
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0.8611347079277039
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0.8353617787361145
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0.8298453688621521
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0.7994251847267151
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