Hypothesis testing for nearly nonstationary autoregressive models

DOI10.1016/0898-1221(90)90084-WzbMath0697.62082MaRDI QIDQ911201

János Kormos

Publication date: 1990

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

limit distributiongeneral modelfunctionals of simple diffusion processesnearly nonstationary autoregressive processes of first and second order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

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Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation ⋮ Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes ⋮ New statistical investigations of the Ornstein-Uhlenbeck process. ⋮ Parameter estimation for nearly nonstationary AR(1) processes

Cites Work

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