Functional convergence of stochastic integrals with application to statistical inference

DOI10.1016/j.spa.2011.10.007zbMath1252.60050OpenAlexW1988854597MaRDI QIDQ765875

Li Song, Richard A. Davis

Publication date: 22 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.10.007

zbMATH Keywords

weak convergencestochastic processesmartingale differencesunit root problemweak convergence of likelihoods

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

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Cites Work

• Unit roots in moving averages beyond first order
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• Limiting distributions of least squares estimates of unstable autoregressive processes
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