On the asymptotic accuracy of least-squares estimators in nearly unstable AR(1) processes

zbMath0893.62087MaRDI QIDQ1366484

Kęstutis Kubilius, Alfredas Račkauskas

Publication date: 13 November 1997

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

central limit theoremleast-squares estimatorautoregressive processProkhorov distancemartingale difference array

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Sequential estimation (62L12)

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On the asymptotic normality of estimates in the nearly non-stationary AR(1) models

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