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

DOI10.1214/AOS/1176344077MaRDI QIDQ1246958zbMATH OpenOpenAlexFDO

Authors Malempati M. Rao

Publication date 1978

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

Full work available at URL https://doi.org/10.1214/aos/1176344077

Mathematics Subject Classification ID

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

(33)

• Moments in Pearson's four-step uniform random walk problem and other applications of very well-poised generalized hypergeometric series
• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
• Sequential fixed accuracy estimation for nonstationary autoregressive processes
• A comparison of LS/ML and GMM estimation in a simple AR(1) model
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Bootstrapping general first order autoregression
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• A small sample confidence interval for autoregressive parameters
• Asymptotic inference of least absolute deviation estimation for AR(1) processes
• The life and work of M. M. Rao
• On Uniform Asymptotic Normality of Sequential Estimators for the Parameters in a Stable AR(1)
• On asymptotic properties of bootstrap for AR(1) processes
• Integrated functionals of normal and fractional processes
• Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
• Asymptotic inference for \(\mathrm{AR}(1)\) panel data
• Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Optimal gamma approximation on Wiener space
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
• Explicit and exponential bounds for a test on the coefficient of an AR(1) model
• Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
• Weighted Dickey-Fuller processes for detecting stationarity
• Parameter estimation for nearly nonstationary AR(1) processes
• Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Limit theory and bootstrap for explosive and partially explosive autoregression
• Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
• On the bias of the least squares estimator for the first order autoregressive process

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