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The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes

✍ Scribed by Dong Wan Shin


Book ID
108549354
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
226 KB
Volume
19
Category
Article
ISSN
0143-9782

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On limiting distributions in explosive a
✍ Michael J. Monsour; Piotr W. Mikulski πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 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