Asymptotic inference for a nonstationary double AR(1) model

DOI10.1093/biomet/asm084zbMath1437.62533MaRDI QIDQ3631495

Shiqing Ling, Dong Li

Publication date: 10 June 2009

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/69620419883c8ea3cdc0353ca63f62f295215c8f

zbMATH Keywords

asymptotic distribution; maximum likelihood estimator; double AR(1) model

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62P10: Applications of statistics to biology and medical sciences; meta analysis

62F10: Point estimation

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