Parameter estimation for nearly nonstationary AR(1) processes
DOI10.1016/0895-7177(94)90047-7zbMath0852.62080OpenAlexW2017724171MaRDI QIDQ1324198
T. van der Meer, Kacha Dzhaparidze, János Kormos, Martien C. A. Van Zuijlen
Publication date: 12 November 1996
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/1484
asymptotic normalityinnovationsfunctional limit theoremsmall-noise nearly nonstationary AR(1) process
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17) Sequential estimation (62L12)
Related Items (4)
Cites Work
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