Asymptotic properties of nearly unstable multivariate AR processes.

DOI10.1016/S0898-1221(98)00249-1zbMath1043.62531OpenAlexW2086487702MaRDI QIDQ1962952

Martien C. A. Van Zuijlen, Gyula Pap

Publication date: 20 January 2000

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0898-1221(98)00249-1

zbMATH Keywords

Continuous time processesDiscrete time autoregressive processesNearly unstable models

Mathematics Subject Classification ID

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

Related Items

Nearly unstable AR models with coefficient matrices in Jordan normal form ⋮ Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets

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