LARGE-SAMPLE ESTIMATION IN NONSTATIONARY AUTOREGRESSIVE PROCESSES WITH MULTIPLE OBSERVATIONS

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:54

Article

关键词: AUTOREGRESSION;    NONSTATIONARY PROCESSES;    EXPLOSIVE PROCESS;    UNSTABLE PROCESS;    INTRACLASS CORRELATION;    LEAST-SQUARES ESTIMATION;    ASYMPTOTIC DISTRIBUTIONS;    NONERGODIC MODELS;   

DOI  :  10.1016/0304-4149(94)00024-7

来源: Elsevier

【 摘 要 】

The asymptotic distributions of the least-squares estimators of the parameters in autoregressive processes with multiple observations are derived for the two nonstationary cases, viz., (a) the explosive case and (b) the unstable case. It is shown that nonstandard limit distributions are obtained.

【 授权许可】

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