Asymptotic accuracy of the least-squares estimates in nearly nonstationary autoregressive models
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Publication:1366380
DOI10.1007/BF02473977zbMath0935.62102OpenAlexW2115128125MaRDI QIDQ1366380
Publication date: 29 October 1997
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02473977
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)
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Cites Work
- Gaussian likelihood estimation for nearly nonstationary AR(1) processes
- Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
- Asymptotic inference for nearly nonstationary AR(1) processes
- Maximum likelihood type estimation for nearly nonstationary autoregressive time series
- Towards a unified asymptotic theory for autoregression
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