The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

From MaRDI portal
Publication:3279656

DOI10.1214/aoms/1177706450zbMath0099.13004OpenAlexW2029910124WikidataQ56040904 ScholiaQ56040904MaRDI QIDQ3279656

John S. White

Publication date: 1958

Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177706450




Related Items (only showing first 100 items - show all)

Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the rootsDISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODELEstimation of the offspring mean in a supercritical or near-critical size-dependent branching processI Got More Data, My Model is More Refined, but My Estimator is Getting Worse! Am I Just Dumb?Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive ProcessThe limiting distribution of the least‐squares estimator in nearly integrated seasonal modelsESTIMATING STRUCTURAL PARAMETERS IN REGRESSION MODELS WITH ADAPTIVE LEARNINGTesting for explosive bubbles: a reviewLeast absolute deviation estimation for AR(1) processes with roots close to unityModerate deviations for the mildly stationary autoregressive model with dependent errorsUnnamed ItemAsymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODELSequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock PricePATH INTEGRAL METHOD FOR LIMITING DISTRIBUTION OF AN ESTIMATOR ARISING FROM AN AR(1)-PROCESS WITH A UNIT ROOTAsymptotic inference for an unstable spatial AR modelLarge and moderate deviations upper bounds for the Gaussian autoregressive processAsymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheetsInference About the First-Order Autoregressive CoefficientDISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLEUNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PASTA comparison of LS/ML and GMM estimation in a simple AR(1) modelPrecise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive ProcessFrom unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you moreUnnamed ItemA comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian modelDecomposition of an autoregressive process into first order processesAsymptotic inference for semimartingale models with singular parameter pointsA LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORSLimit theory for moderate deviations from a unit rootNearly unstable family of stochastic processes given by stochastic differential equations with time delayInformation quantities in non-classical settingsDouble asymptotics for explosive continuous time modelsLarge sample estimation in nonstationary autoregressive processes with multiple observationsWeak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)Methods of analyzing nonstationary time series with implicit changes in their propertiesLimit theory and bootstrap for explosive and partially explosive autoregressionForecasting and testing in co-integrated systemsExact distributions, density functions and moments of the least squares estimator in a first-order autoregressive modelThe adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errorsAsymptotic inference for \(AR(1)\) processes with (nonnormal) stable errorsOn attainable Cramèr-Rao type lower bounds for weighted loss functionsAsymptotic inference for near unit roots in spatial autoregressionOn the non-existence of a Bartlett correction for unit root testsGauss-Newton estimation of parameters for a spatial autoregression modelAsymptotic distributions of some robust scale estimators in explosive AR(1) modelThe exact moments of OLS in dynamic regression models with non-normal errorsExact distribution of estimators of parameters in Ornstein-Uhlenbeck processesOn convergence of multivariate Laplace transformsOn asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\)Nearly unstable AR models with coefficient matrices in Jordan normal formOn the asymptotic normality of estimates in the nearly non-stationary AR(1) modelsPriors for unit root modelsHypothesis testing in a fractional Ornstein-Uhlenbeck modelAsymptotic results for polygonal processes related to an autoregressionAsymptotic normality of residual density estimator in stationary and explosive autoregressive modelsDeviation inequalities and Cramér-type moderate deviations for the explosive autoregressive processModel Selection for Volatility PredictionValid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformationsInstability detection of ARMA systems based on AR system identificationOffline and online weighted least squares estimation of nonstationary power ARCH processesA new estimator for the unit rootOn the bias of the least squares estimator for the first order autoregressive processOn parameter estimation for critical affine processesHypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cessesA general framework for the parametrization of hierarchical modelsOn the bias of the OLS estimator in a nonstationary dynamic panel data modelOverlapping subsampling and invariance to initial conditionsLimit theory for moderate deviations from a unit root under innovations with a possibly infinite varianceAsymptotic properties of nearly unstable multivariate AR processes.On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processesAsymptotic inference for \(\mathrm{AR}(1)\) panel dataEditor's introduction: Analysis of financial dataDeviation probability bound for martingales with applications to statistical estimationWeighted Dickey-Fuller processes for detecting stationarityAn exponential inequality for autoregressive processes in adaptive trackingLimit theory for an explosive autoregressive processAsymptotic theory of least squares estimators for nearly unstable processes under strong dependenceOn the distribution of quadratic functionals of the ordinary and fractional Brownian motionsA small sample confidence interval for autoregressive parametersMildly explosive autoregression with mixing innovationsExponential inequalities for self-normalized martingales with applicationsMildly explosive autoregression under weak and strong dependenceTESTS FOR NONLINEAR COINTEGRATIONAsymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noiseRemark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregressionAsymptotic properties of dynamic stochastic parameter estimates. IIIA note on unit root tests with heavy-tailed GARCH errorsQML estimators in linear regression models with functional coefficient autoregressive processesConvergence theorems on the least square estimators of the structural parameters of a linear explosive modelAsymptotic properties of dynamic stochastic parameter estimatesSummability of stochastic processes -- a generalization of integration for non-linear processesAsymptotic properties of mildly explosive processes with locally stationary disturbancePeriodogram ordinate: spatial model with near unit roots and dependent errorsSmoothing local-to-moderate unit root theoryAsymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovationsA class of simple distribution-free rank-based unit root testsHybrid stochastic local unit rootsIntegrated functionals of normal and fractional processesUNIT ROOT TESTING IN THE PRESENCE OF HEAVY-TAILED GARCH ERRORS




This page was built for publication: The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case