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A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE

โœ Scribed by Juha Ahtola; George C. Tiao


Book ID
111039518
Publisher
John Wiley and Sons
Year
1987
Tongue
English
Weight
204 KB
Volume
8
Category
Article
ISSN
0143-9782

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A note on the residual empirical process
โœ Sangyeol Lee ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 242 KB

Suppose that {X,} is the stationary AR(p) process of the form: X, -/,t = fll(Xt.-i -la) + ... + [~t,(X,\_p -I~) + ~:,, where {~:,} is a sequence of i.i.d, random variables with mean zero and finite variance a 2. In this paper, we study the asymptotic behavior of the empirical process computed from t