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Unified asymptotic theory for nearly unstable AR(p) processes

Buchmann, Boris; Chan, Ngai Hang

Description

A unified asymptotic theory for nearly unstable higher order autoregressive processes and their least squares estimates is established. A novel version of Jordan's canonical decomposition with perturbations together with a suitable plug-in principle is proposed to develop the underlying theories. Assumptions are stated in terms of the domain of attraction of partial Fourier transforms. The machinery is applied to recapture some of the classical results with the driving noise being martingale...[Show more]

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
URI: http://hdl.handle.net/1885/69747
Source: Stochastic Processes and their Applications
DOI: 10.1016/j.spa.2012.09.014

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