Slow-explosive AR(1) processes converging to random walk

DOI10.1080/03610926.2019.1568486OpenAlexW2913591783MaRDI QIDQ5077410

Tae Yoon Kim, Sun Young Hwang

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1568486

zbMATH Keywords

random walkU-statisticslow-explosive AR(1)

Mathematics Subject Classification ID

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

Related Items (2)

Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors ⋮ Barely-stationary \(\mathrm{AR}(1)\) sequences near random walk

Cites Work

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• Limit theory for moderate deviations from a unit root
• Mildly explosive autoregression with mixing innovations
• Asymptotic inference for nearly nonstationary AR(1) processes
• Parameter estimation for nearly nonstationary AR(1) processes
• Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
• Central Limit Theorems for ReducedU-Statistics Under Dependence and Their Usefulness
• The Parameter Inference for Nearly Nonstationary Time Series
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation

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