Estimation and Testing Stationarity for Double-Autoregressive Models

DOI10.1111/j.1467-9868.2004.00432.xzbMath1061.62138OpenAlexW2046118718MaRDI QIDQ4665831

Shiqing Ling

Publication date: 11 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2004.00432.x

zbMATH Keywords

consistencyasymptotic normalityBrownian motionstationarymaximum likelihood estimatorLagrange multiplier testdouble-autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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