Decomposition of an autoregressive process into first order processes

DOI10.1016/j.jmva.2016.02.007zbMath1338.62063OpenAlexW2282067308MaRDI QIDQ272090

Michael J. Monsour

Publication date: 20 April 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.02.007

zbMATH Keywords

decompositionasymptotic distributionscharacteristic rootsmaximum likelihood estimatorsautoregressive processfirst order process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Asymptotic inference for nearly nonstationary AR(1) processes
• Limiting distributions of least squares estimates of unstable autoregressive processes
• On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
• Estimation of the parameters of stochastic difference equations
• Asymptotic properties of dynamic stochastic parameter estimates. III
• On limiting distributions in explosive autoregressive processes
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Matrix Analysis
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• A Note on the Least Square Estimators of the Parameters of a Second Order Linear Stochastic Difference Equation
• Martingale Central Limit Theorems
• On the Statistical Treatment of Linear Stochastic Difference Equations
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