Rate of convergence in distribution for the least square estimator in an autoregressive model (mixed case)
type: Item
instance of: scholarly article
title: Rate of convergence in distribution for the least square estimator in an autoregressive model (mixed case)
zbMATH Open document ID: 0856.60041
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 1997-02-17T00:00:00Z
full work available at URL: http://www.numdam.org/item
full work available at URL: https://eudml.org/doc/77533
review text: 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.
Mathematics Subject Classification ID: 60G12
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 898060
zbMATH Keywords: asymptotic behaviour
zbMATH Keywords: self-regressive
author: Abderrahmen Touati
reviewed by: Ion C. Vladimirescu
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 898060