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

zbMath0893.62087MaRDI QIDQ1366484

Kęstutis Kubilius, Alfredas Račkauskas

Publication date: 13 November 1997

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

zbMATH Keywords

central limit theorem; least-squares estimator; autoregressive process; Prokhorov distance; martingale difference array

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G42: Martingales with discrete parameter

62L12: Sequential estimation

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