Consistency and asymptotic normality in a class of nearly unstable processes
Author:
Funder
ANR project ‘Efficient inference for large and high-frequency data’
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11203-023-09290-2.pdf
Reference21 articles.
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3. Buchmann B, Chan NH (2013) Unified asymptotic theory for nearly unstable AR$$(p)$$ processes. Stoch Proc Appl 123:952–985
4. Chan NH, Wei CZ (1987) Asymptotic inference for nearly nonstationary AR$$(1)$$ processes. Ann Stat 15:1050–1063
5. Chan NH, Wei CZ (1988) Limiting distributions of least squares estimates of unstable autoregressive processes. Ann Stat 16:367–401
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1. Testing for the extent of instability in nearly unstable processes;Journal of Time Series Analysis;2024-06
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