The large sample distribution of the roots of the second order autoregressive polynomial

DOI10.1093/BIOMET/80.4.919zbMATH Open0795.62011OpenAlexW2136910717MaRDI QIDQ4299474FDOQ4299474

Authors: Sastry G. Pantula, Wayne A. Fuller 

Publication date: 4 July 1994

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/80.4.919

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zbMATH Keywords

confidence regioncharacteristic polynomialautoregressive processsingular normalunit rootequal rootsestimated rootssecond order autoregressive polynomial

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (2)

• Unit roots in white noise
• The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model

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