Barely-stationary AR(1) sequences near random walk
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s42952-021-00124-6.pdf
Reference10 articles.
1. Chan, N. H. (1988). The parameter inference for nearly nonstationary time series. Journal of the American Statistical Association, 83, 857–862.
2. Chan, N. H., & Wei, C. Z. (1987). Asymptotic inference for nearly non-stationary AR(1) processes. The Annals of Statistics, 15, 1050–1063.
3. Fuller, W. A. (1996). Introduction to statistical time series (2nd ed.). Wiley.
4. Kim, T. Y., & Hwang, S. Y. (2020). Slow-explosive AR(1) processes converging to random walk. Communications in Statistics-Theory and Methods, 49, 2094–2109.
5. Hwang, S. Y., & Basawa, I. V. (1993). Asymptotic optimal inference for a class of nonlinear time series. Stochastic Processes and Their Applications, 46, 91–113.
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