Large sample estimation in nonstationary autoregressive processes with multiple observations

S. Sethuraman; I. V. Basawa

doi:10.1016/0304-4149(94)00024-7

Large sample estimation in nonstationary autoregressive processes with multiple observations

S. Sethuraman, I. V. Basawa

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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 language	English (US)
Pages (from-to)	331-354
Number of pages	24
Journal	Stochastic Processes and their Applications
Volume	54
Issue number	2
DOIs	https://doi.org/10.1016/0304-4149(94)00024-7
State	Published - Dec 1994
Externally published	Yes

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

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10.1016/0304-4149(94)00024-7

Cite this

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title = "Large sample estimation in nonstationary autoregressive processes with multiple observations",

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.",

keywords = "Asymptotic distributions, Autoregression, Explosive process, Intraclass correlation, Least-squares estimation, Nonergodic models, Nonstationary processes, Unstable process",

author = "S. Sethuraman and Basawa, {I. V.}",

note = "Funding Information: I.V. Basawa{\textquoteright}s work was partially supported by grants from the Office of Naval Research and from the National Science Foundation. We thank the referee for a careful reading and constructive suggestions.",

year = "1994",

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doi = "10.1016/0304-4149(94)00024-7",

language = "English (US)",

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T1 - Large sample estimation in nonstationary autoregressive processes with multiple observations

AU - Sethuraman, S.

AU - Basawa, I. V.

N1 - Funding Information: I.V. Basawa’s work was partially supported by grants from the Office of Naval Research and from the National Science Foundation. We thank the referee for a careful reading and constructive suggestions.

PY - 1994/12

Y1 - 1994/12

N2 - 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.

AB - 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.

KW - Asymptotic distributions

KW - Autoregression

KW - Explosive process

KW - Intraclass correlation

KW - Least-squares estimation

KW - Nonergodic models

KW - Nonstationary processes

KW - Unstable process

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DO - 10.1016/0304-4149(94)00024-7

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SN - 0304-4149

VL - 54

SP - 331

EP - 354

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -

Large sample estimation in nonstationary autoregressive processes with multiple observations

Abstract

Keywords

ASJC Scopus subject areas

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