Asymptotic properties of mildly explosive processes with locally stationary disturbance
DOI10.1007/s00184-020-00782-2zbMath1496.62154OpenAlexW3039227857MaRDI QIDQ2036311
Junichi Hirukawa, Sangyeol Lee
Publication date: 28 June 2021
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-020-00782-2
locally stationary processlimit theorem for least squares estimatormildly explosive autoregressionbitcoin databubble and crash detection
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)
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