Unified asymptotic theory for nearly unstable AR(p) processes

DOI10.1016/J.SPA.2012.09.014MaRDI QIDQ1940239zbMATH OpenOpenAlexFDO

Authors Boris Buchmann, Ngai Hang Chan

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

least squaresfractional Brownian motionunit root testsJordan canonical formnearly unstable autoregressive modelsLévy areas

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)

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Cited in

(16)

• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
• Nearly nonstationary AR processes with mixing innovaton
• Asymptotic inference for unstable auto-regressive time series with drifts
• Optimal gamma approximation on Wiener space
• Finite time identification in unstable linear systems
• The different asymptotic regimes of nearly unstable autoregressive processes
• 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.
• 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
• 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
• Nearly unstable processes: a prediction perspective

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