Asymptotic inference for a one-dimensional simultaneous autoregressive model

DOI10.1007/S00184-009-0289-5zbMATH Open1216.62137OpenAlexW2054380492MaRDI QIDQ548172FDOQ548172

Sándor Baran, Gyula Pap

Publication date: 28 June 2011

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-009-0289-5

Recommendations

• Asymptotic inference for an unstable spatial AR model
• Asymptotic inference for a nearly unstable sequence of stationary spatial AR models
• Asymptotic inference for nearly nonstationary AR(1) processes
• On the least squares estimator in a nearly unstable sequence of stationary spatial AR models
• Asymptotic inference for a nonstationary double AR(1) model

zbMATH Keywords

unit rootsleast squares estimatormartingale central limit theoremasymptotically stationary model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• ON STATIONARY PROCESSES IN THE PLANE
• Title not available (Why is that?)
• The Radicals of a Semigroup
• Estimation for autoregressive processes with unit roots
• Modified Whittle estimation of multilateral models on a lattice
• Asymptotic inference for unit roots in spatial triangular autoregression

Cited In (1)

• Asymptotic inference for an unstable spatial AR model

This page was built for publication: Asymptotic inference for a one-dimensional simultaneous autoregressive model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q548172)