Nearly unstable multidimensional AR processes

DOI10.1016/S0898-1221(97)00202-2MaRDI QIDQ1130386zbMATH OpenFDO

Authors János Kormos, Gyula Pap

Publication date 20 August 1998

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processlikelihood ratiolimiting distributionnearly unstable autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Cites work

• scientific article; zbMATH DE number 41701 (Why is no real title available?)
• scientific article; zbMATH DE number 1111392 (Why is no real title available?)
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Nonstationarity criterion for a Gaussian autoregression time series under a close alternative
• Parameter estimation for nearly nonstationary AR(1) processes

Cited in

(5)

• New statistical investigations of the Ornstein-Uhlenbeck process.
• Nearly unstable AR models with coefficient matrices in Jordan normal form
• Asymptotic properties of nearly unstable multivariate AR processes.
• Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets
• Functionals of complex Ornstein-Uhlenbeck processes.

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