ASYMPTOTIC INFERENCES FOR AN AR(1) MODEL WITH A CHANGE POINT: STATIONARY AND NEARLY NON-STATIONARY CASES
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Publication:2933195
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
limiting distribution; least squares estimator; change point; domain of attraction of the normal law; AR(1) model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
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