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Extremes in autoregressive processes with uniform marginal distributions

โœ Scribed by Michael R. Chernick; Richard A. Davis


Book ID
103591866
Publisher
Elsevier Science
Year
1982
Tongue
English
Weight
222 KB
Volume
1
Category
Article
ISSN
0167-7152

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On limiting distributions in explosive a
โœ Michael J. Monsour; Piotr W. Mikulski ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 307 KB

The limiting distribution is obtained for the maximum likelihood estimator in the AR(p) process with a random and nonrandom normalization and all characteristic roots outside the unit circle, purely explosive process. Though these results have been in the literature, proofs have been omitted. A deta