Nearly unstable AR models with coefficient matrices in Jordan normal form

DOI10.1016/S0898-1221(98)00188-6zbMath0928.62080OpenAlexW2080156036MaRDI QIDQ1125015

S. H. Smith

Publication date: 11 January 2000

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0898-1221(98)00188-6

zbMATH Keywords

autoregressive processesdiscretecontinuousnearly unstable models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Nearly unstable multidimensional AR processes
• Asymptotic properties of nearly unstable multivariate AR processes.
• Inference in Linear Time Series Models with some Unit Roots
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Towards a unified asymptotic theory for autoregression
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Nearly unstable AR models with coefficient matrices in Jordan normal form