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