Asymptotic distribution of an estimator of the boundary parameter of an unstable process

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cited In (34)

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Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
Moments in Pearson's four-step uniform random walk problem and other applications of very well-poised generalized hypergeometric series
DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
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DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
On asymptotic properties of bootstrap for AR(1) processes
Optimal Gamma Approximation on Wiener Space
Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
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Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
Limit theory and bootstrap for explosive and partially explosive autoregression
A small sample confidence interval for autoregressive parameters

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