Asymptotic inference for nearly unstable multidimensional AR processes

被引：0

作者：

Pap, G

VanZuijlen, M

机构：

[1] LAJOS KOSSUTH UNIV, INST MATH & INFORMAT, H-4010 DEBRECEN, HUNGARY

[2] CATHOLIC UNIV NIJMEGEN, DEPT MATH, NL-6525 ED NIJMEGEN, NETHERLANDS

[3] DEBRECEN UNIV MED, INST MATH & INFORMAT, H-4012 DEBRECEN, HUNGARY

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 1997年 / 41卷 / 03期

关键词：

discrete and continuous time autoregressive processes; nearly unstable models;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Nearly unstable multidimensional AR models are studied where the coefficient matrices have some special form. Weak convergence of the sequence of the appropriately normalized LSE of the coefficient matrices is proved. A natural connection between the discrete and the corresponding continuous time models is presented.

引用

页码：578 / 586

页数：9

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