Unified asymptotic theory for nearly unstable AR(\(p\)) processes

DOI10.1016/j.spa.2012.09.014zbMath1275.62064OpenAlexW2044003087MaRDI QIDQ1940239

Ngai Hang Chan, Boris Buchmann

Publication date: 6 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.09.014

zbMATH Keywords

fractional Brownian motionJordan canonical formleast squaresunit root testsLévy areasnearly unstable autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Characteristic functions; other transforms (60E10)

Related Items (8)

Optimal Gamma Approximation on Wiener Space ⋮ Nearly unstable family of stochastic processes given by stochastic differential equations with time delay ⋮ Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process ⋮ The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes ⋮ Least absolute deviation estimation for AR(1) processes with roots close to unity ⋮ Consistency and asymptotic normality in a class of nearly unstable processes ⋮ Finite time identification in unstable linear systems ⋮ Moderate deviations in a class of stable but nearly unstable processes

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