The Parameter Inference for Nearly Nonstationary Time Series
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Publication:3816872
DOI10.2307/2289317zbMath0665.62091OpenAlexW4237641047MaRDI QIDQ3816872
Publication date: 1988
Full work available at URL: https://doi.org/10.2307/2289317
least squaresstochastic integralOrnstein- Uhlenbeck processinfinite series expansionnearly nonstationary AR(1) modeleigenvalue-eigenfunction expansionfirst-order autoregressive (AR) time serieslimiting distribution of the least squares estimatepercentiles of the limiting distribution
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical tables (62Q05)
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