Unified asymptotic theory for nearly unstable AR(\(p\)) processes
type: Item
instance of: scholarly article
title: Unified asymptotic theory for nearly unstable AR(\(p\)) processes
zbMATH Open document ID: 1275.62064
author: Boris Buchmann
author: Ngai Hang Chan
published in: Stochastic Processes and their Applications
publication date: 2013-03-06T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 60E10
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6142015
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Jordan canonical form
zbMATH Keywords: least squares
zbMATH Keywords: Lévy areas
zbMATH Keywords: nearly unstable autoregressive models
zbMATH Keywords: unit root tests
MaRDI profile type: Publication
full work available at URL: j.spa.2012.09.014
OpenAlex ID: W2044003087
DOI: 10.1016/J.SPA.2012.09.014
description: scientific article; zbMATH DE number 6142015