A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept (Q3361763)
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scientific article; zbMATH DE number 4215222
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| English | A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept |
scientific article; zbMATH DE number 4215222 |
Statements
A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept (English)
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1991
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near-integrated processes
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unit root
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first-order stochastic difference equation
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first-order autoregressive process
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least-squares estimator
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continuous-time Ornstein-Uhlenbeck process
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Wiener process
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moment- generating function
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power function
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0.88685864
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0.87772506
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0.8702112
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