Inference for unstable long-memory processes with applications to fractional unit root autoregressions

DOI10.1214/aos/1176324318zbMath0843.62084OpenAlexW1988338310MaRDI QIDQ1914264

Publication date: 31 July 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324318

zbMATH Keywords

unit circle least squares long-range dependence autoregressive time series characteristic roots nonstationarity unit roots asymptotic inferential schemes fractional AR model long-memory innovations low-frequency phenomena novel weak convergence result stochastic integral of fractional Brownian motion unstable autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

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