Parameter estimation for nearly nonstationary AR(1) processes

DOI10.1016/0895-7177(94)90047-7zbMath0852.62080OpenAlexW2017724171MaRDI QIDQ1324198

T. van der Meer, Kacha Dzhaparidze, János Kormos, Martien C. A. Van Zuijlen

Publication date: 12 November 1996

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/1484

zbMATH Keywords

asymptotic normalityinnovationsfunctional limit theoremsmall-noise nearly nonstationary AR(1) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17) Sequential estimation (62L12)

Related Items (4)

Slow-explosive AR(1) processes converging to random walk ⋮ Nearly unstable multidimensional AR processes ⋮ Asymptotic properties of nearly unstable multivariate AR processes. ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity

Cites Work

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