Unified asymptotic theory for nearly unstable AR(p) processes

DOI10.1016/J.SPA.2012.09.014zbMATH Open1275.62064OpenAlexW2044003087MaRDI QIDQ1940239FDOQ1940239

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

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zbMATH Keywords

least squaresfractional Brownian motionunit root testsJordan canonical form[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+areas&go=Go L��vy areas]nearly unstable autoregressive models

Mathematics Subject Classification ID

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

Cited In (15)

• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• Nearly nonstationary AR processes with mixing innovaton
• Asymptotic inference for unstable auto-regressive time series with drifts
• Finite time identification in unstable linear systems
• Nearly unstable AR models with coefficient matrices in Jordan normal form
• Least absolute deviation estimation for AR(1) processes with roots close to unity
• Asymptotic properties of nearly unstable multivariate AR processes.
• The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes
• Consistency and asymptotic normality in a class of nearly unstable processes
• Moderate deviations in a class of stable but nearly unstable processes
• Testing for the extent of instability in nearly unstable processes
• Optimal Gamma Approximation on Wiener Space
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES

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