Limiting distributions of least squares estimates of unstable autoregressive processes
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Publication:1116576
DOI10.1214/aos/1176350711zbMath0666.62019OpenAlexW2000542972MaRDI QIDQ1116576
Ngai Hang Chan, Ching-Zong Wei
Publication date: 1988
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176350711
characteristic polynomialunit circlestochastic integralsasymptotic distribution of the least squares estimatorunstable autoregressive process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)
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