On limiting distributions in explosive autoregressive processes

DOI10.1016/S0167-7152(97)00111-9zbMath0909.62011MaRDI QIDQ1379906

Piotr W. Mikulski, Michael J. Monsour

Publication date: 8 April 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

characteristic rootscanonical formJordan normalpure explosive autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

Decomposition of an autoregressive process into first order processes ⋮ Sequential fixed accuracy estimation for nonstationary autoregressive processes ⋮ Asymptotics of regressions with stationary and nonstationary residuals. ⋮ Explosive strong periodic autoregression with multiplicity one

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
• Estimation of the parameters of stochastic difference equations
• Asymptotic properties of dynamic stochastic parameter estimates. III
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Orthonormal Banach systems with applications to linear processes
• Matrix Analysis
• On the Statistical Treatment of Linear Stochastic Difference Equations

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