Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation

DOI10.1016/0898-1221(91)90238-YzbMath0717.62080MaRDI QIDQ2638701

János Kormos

Publication date: 1991

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

zbMATH Keywords

Gaussian white noiselikelihood ratio statisticfirst-order autoregressive modelgeneralized random walkGaussian autoregressive innovationnearly nonstationary AR(1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Nearly unstable multidimensional AR processes ⋮ Parameter estimation for nearly nonstationary AR(1) processes

Cites Work

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• A functional central limit theorem for weakly dependent sequences of random variables
• Linear stochastic systems with constant coefficients. A statistical approach
• Hypothesis testing for nearly nonstationary autoregressive models
• Fixed accuracy estimation of an autoregressive parameter
• Asymptotic inference for nearly nonstationary AR(1) processes
• Time Series Regression with a Unit Root