Rate of convergence in distribution for the least square estimator in an autoregressive model (mixed case)
The work refers to the study of the asymptotic behaviour, in distribution of the approximation of the smallest square roots for a self-regressive \(p\)-dimensional model of order 1, ARp(1). This model has a polynomial characteristic with no square roots, decomposing ARp(1) model in two self-regressive models: an explosive one, and a stable one.
scientific article; zbMATH DE number 898060