scientific article; zbMATH DE number 720753

MaRDI QIDQ4322396zbMATH OpenFDO

Authors Anders Stockmarr, Martin Jacobsen

Publication date 18 June 1995

zbMATH Keywords

\(d\)- dimensional homogeneous Gaussian diffusionsapproximation of autoregressive modelshypothesis of \(r\) cointegrating vectorsstatistical models of Gaussian diffusionsweak limits of autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Central limit and other weak theorems (60F05)

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Cited in

(5)

• Limit theory for high frequency sampled MCARMA models
• Nearly unstable AR models with coefficient matrices in Jordan normal form
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
• Asymptotic properties of nearly unstable multivariate AR processes.

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