Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes

DOI10.1214/aos/1176346399zbMath0546.62059OpenAlexW1995230056MaRDI QIDQ797946

Ishwar V. Basawa, Peter J. Brockwell

Publication date: 1984

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346399

zbMATH Keywords

conditional limit theoremconditional modeloptimality resultsasymptotic conditionality principleconditionally locally asymptotically normal familyexplosive Gaussian autoregressive processesnonergodic familyunconditional likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

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