scientific article; zbMATH DE number 1111392

MaRDI QIDQ4375269zbMATH OpenFDO

Authors Gyula Pap, Martien C. A. van Zuijlen

Publication date 1 February 1998

zbMATH Keywords

discrete and continuous time autoregressive processesnearly unstable multidimensional AR models

Mathematics Subject Classification ID

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

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Cited in

(13)

• Nearly unstable AR models with coefficient matrices in Jordan normal form
• Nearly unstable multidimensional AR processes
• On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
• Asymptotic inference for a nearly unstable sequence of stationary spatial AR models
• Unified asymptotic theory for nearly unstable AR(\(p\)) processes
• Functionals of complex Ornstein-Uhlenbeck processes.
• Asymptotic properties of nearly unstable multivariate AR processes.
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• Large deviations for posterior distributions on the parameter of a multivariate \(\mathrm{AR}(p)\) process
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• ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
• THE ASYMPTOTIC JOINT DISTRIBUTION OF THE YULE-WALKER ESTIMATORS OF A CAUSAL MULTIDIMENSIONAL AR PROCESS
• Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets

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