Consistency and asymptotic normality in a class of nearly unstable processes
DOI10.1007/s11203-023-09290-2arXiv2211.03385OpenAlexW4379143702MaRDI QIDQ6190227
Publication date: 6 February 2024
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2211.03385
asymptotic behaviormartingalescompanion matrixunit rootnearly unstable autoregressive processOLS estimation
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10) Stable stochastic processes (60G52)
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