Nearly unstable multidimensional AR processes

DOI10.1016/S0898-1221(97)00202-2zbMath0901.62109MaRDI QIDQ1130386

János Kormos, Gyula Pap

Publication date: 20 August 1998

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

zbMATH Keywords

likelihood ratioOrnstein-Uhlenbeck processlimiting distributionnearly unstable autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Nearly unstable AR models with coefficient matrices in Jordan normal form ⋮ New statistical investigations of the Ornstein-Uhlenbeck process. ⋮ Functionals of complex Ornstein-Uhlenbeck processes. ⋮ Asymptotic properties of nearly unstable multivariate AR processes. ⋮ Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets

Cites Work

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• Limiting distributions of least squares estimates of unstable autoregressive processes
• Parameter estimation for nearly nonstationary AR(1) processes
• Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE

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