Asymptotic accuracy of the least-squares estimates in nearly nonstationary autoregressive models

DOI10.1007/BF02473977zbMath0935.62102OpenAlexW2115128125MaRDI QIDQ1366380

Alfredas Račkauskas

Publication date: 29 October 1997

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02473977

zbMATH Keywords

Banach spacescentral limit theoremautoregressive processleast-square estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Related Items

Asymptotic expansions in non-central limit theorems for quadratic forms

Cites Work

• Gaussian likelihood estimation for nearly nonstationary AR(1) processes
• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Asymptotic inference for nearly nonstationary AR(1) processes
• Maximum likelihood type estimation for nearly nonstationary autoregressive time series
• Towards a unified asymptotic theory for autoregression
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