Large sample estimation in nonstationary autoregressive processes with multiple observations

Sankara N Sethuraman, I. V. Basawa

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

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.

Original languageEnglish (US)
Pages (from-to)331-354
Number of pages24
JournalStochastic Processes and their Applications
Volume54
Issue number2
DOIs
StatePublished - Jan 1 1994
Externally publishedYes

Fingerprint

Nonstationary Processes
Autoregressive Process
Least Squares Estimator
Limit Distribution
Asymptotic distribution
Unstable
Observation

Keywords

  • Asymptotic distributions
  • Autoregression
  • Explosive process
  • Intraclass correlation
  • Least-squares estimation
  • Nonergodic models
  • Nonstationary processes
  • Unstable process

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

Cite this

Large sample estimation in nonstationary autoregressive processes with multiple observations. / Sethuraman, Sankara N; Basawa, I. V.

In: Stochastic Processes and their Applications, Vol. 54, No. 2, 01.01.1994, p. 331-354.

Research output: Contribution to journalArticle

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