On the sample variance of explosive random coefficient autoregressive processes
From MaRDI portal
Publication:654252
DOI10.1016/j.aml.2011.05.046zbMath1228.62107MaRDI QIDQ654252
Terence Tai-Leung Chong, Wai-Kit Leung
Publication date: 28 December 2011
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2011.05.046
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Cites Work
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- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation