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

MaRDI QIDQ1366484zbMATH OpenFDO

Authors K. Kubilius, Alfredas Račkauskas

Publication date 13 November 1997

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

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)

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Cited in

(4)

• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
• 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
• Distribution asymptotique de l'estimateur des moindres carrés. cas des modèles arx(p,s) instables

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