The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model

DOI10.1214/aos/1176345591zbMath0472.62024MaRDI QIDQ1157854

S. H. Smith

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1214/aos/1176345591

zbMATH Keywords

unstable process; boundary parameter estimator

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

60H25: Random operators and equations (aspects of stochastic analysis)

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