Asymptotic inference for nearly nonstationary AR(1) processes

DOI10.1214/AOS/1176350492zbMATH Open0638.62082OpenAlexW2091369032MaRDI QIDQ1099564FDOQ1099564

Publication date: 1987

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350492

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scientific article; zbMATH DE number 1515764
On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
Parameter estimation for nearly nonstationary AR(1) processes

least-squares estimator reparameterization limiting distribution first order autoregression stochastic integrals of standard Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20)

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