Mildly explosive autoregression with mixing innovations
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Publication:684059
DOI10.1016/j.jkss.2017.09.001zbMath1390.62182OpenAlexW2761798416MaRDI QIDQ684059
Sangyeol Lee, Haejune Oh, Ngai Hang Chan
Publication date: 9 February 2018
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2017.09.001
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Related Items (3)
Slow-explosive AR(1) processes converging to random walk ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models ⋮ Asymptotic properties of mildly explosive processes with locally stationary disturbance
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