Asymptotic conditional inference for regular nonergodic models with an application to autoregressive processes
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Publication:797946
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
conditional limit theoremconditional modeloptimality resultsasymptotic conditionality principleconditionally locally asymptotically normal familyexplosive Gaussian autoregressive processesnonergodic familyunconditional likelihood
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)
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