Skip navigation
Skip navigation

Unified asymptotic theory for nearly unstable AR(p) processes

Buchmann, Boris; Chan, Ngai Hang


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
Source: Stochastic Processes and their Applications
DOI: 10.1016/


File Description SizeFormat Image
01_Buchmann_Unified_asymptotic_theory_for_2013.pdf2.46 MBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator