Nearly unstable multidimensional AR processes

被引：5

作者：

Kormos, J

Pap, G

机构：

[1] Inst. of Mathematics and Informatics, Kossuth University, H-4010 Debrecen

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 1997年 / 34卷 / 10期

关键词：

nearly unstable autoregressive process; likelihood ratio; stochastic differential equation;

D O I：

10.1016/S0898-1221(97)00202-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The limiting distribution of the likelihood ratio is given for the hypothesis of unstability in case of nearly unstable multidimensional Gaussian AR(1) processes.

引用

页码：1 / 7

页数：7

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