ASYMPTOTIC INFERENCES FOR AN AR(1) MODEL WITH A CHANGE POINT: STATIONARY AND NEARLY NON-STATIONARY CASES

DOI10.1111/jtsa.12055zbMath1301.62091arXiv1306.1294MaRDI QIDQ2933195

Tian-Xiao Pang, Terence Tai-Leung Chong, Danna Zhang

Publication date: 10 December 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.1294

zbMATH Keywords

limiting distribution; least squares estimator; change point; domain of attraction of the normal law; AR(1) model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Related Items

STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS, Limit theory for moderate deviations from a unit root with a break in variance, In-fill asymptotic theory for structural break point in autoregressions, Estimation of a Structural Break Point in Linear Regression Models, Random coefficient continuous systems: testing for extreme sample path behavior, Estimating change points in nonparametric time series regression models

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