On limiting distributions in explosive autoregressive processes
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- Limit theory for an explosive autoregressive process
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Cites work
- Asymptotic properties of dynamic stochastic parameter estimates. III
- Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
- Estimation of the parameters of stochastic difference equations
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Matrix Analysis
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- On the Statistical Treatment of Linear Stochastic Difference Equations
- On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
- Orthonormal Banach systems with applications to linear processes
Cited in
(10)- Sequential fixed accuracy estimation for nonstationary autoregressive processes
- Explosive strong periodic autoregression with multiplicity one
- Decomposition of an autoregressive process into first order processes
- scientific article; zbMATH DE number 1850757 (Why is no real title available?)
- Limit theory for an explosive autoregressive process
- Mixing convergence of LSE for supercritical AR(2) processes with Gaussian innovations using random scaling
- Asymptotics of regressions with stationary and nonstationary residuals.
- Weak convergence of the residual empirical process in explosive autoregression
- On the sample variance of explosive random coefficient autoregressive processes
- Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors
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