Model of ordinary univariate autoregression of the first order. Close to critical case
Keywords:
One-dimensional autoregression model, critically autoregression model; one-parameter autoregression model; parameter estimation methods; asymptotic distribution; functional limit theorem, Lindeberg conditionAbstract
The nonstationary one-dimensional autoregressive model is investigated, where and are given random variables. We construct new estimates for the parameter that have more simple limit distributions in the unstable case ( = ) in comparison of least square estimates limit distributions of which have complicated form expressing by means of functional from Wiener process (see, for example in the case =1).
References
Anderson T.V. On asymptotic distributions of estimates of parameters of stochastic difference Equations // Ann. Math. Statist, 1959. -V.30. -Pp. 676-687.
White, J.S. The limiting distribution of the serial correlation coefficient in the explosive case // Ann. Math. Statist, 1958. -V. 29. -Pp. 1188-1197.
Downloads
Published
License
Copyright (c) 2024 Т.С.Мирзаев
This work is licensed under a Creative Commons Attribution 4.0 International License.