On the asymptotic accuracy of least-squares estimators in nearly unstable AR(1) processes

zbMATH Open0893.62087MaRDI QIDQ1366484FDOQ1366484

Authors: K. Kubilius, Alfredas Račkauskas 

Publication date: 13 November 1997

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

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zbMATH Keywords

central limit theoremleast-squares estimatorautoregressive processProkhorov distancemartingale difference array

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Sequential estimation (62L12)

Cited In (4)

• On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
• Asymptotic behaviour of the least squares estimator of the mean of AR(1) models
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
• Distribution asymptotique de l'estimateur des moindres carrés. cas des modèles arx(p,s) instables

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