LARGE-SAMPLE ESTIMATION IN NONSTATIONARY AUTOREGRESSIVE PROCESSES WITH MULTIPLE OBSERVATIONS
[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.
[发布日期] 1994-12-01 [发布机构]
[效力级别] [学科分类]
[关键词] AUTOREGRESSION;NONSTATIONARY PROCESSES;EXPLOSIVE PROCESS;UNSTABLE PROCESS;INTRACLASS CORRELATION;LEAST-SQUARES ESTIMATION;ASYMPTOTIC DISTRIBUTIONS;NONERGODIC MODELS [时效性]
