Sequential estimation of the parameters in unstable AR(2)
Résumé
For a second order non-explosive autoregressive process with un-known 2-dimensional parameter, it is shown that the sequentialleast squares estimate with a particular stopping time is asymptotically normally distributed uniformly in unknown parameter belongingto any compact set in the stability region of the process supple-mented with the part of its boundary corresponding to complex rootsof the characteristic polynomial.
Origine | Fichiers produits par l'(les) auteur(s) |
---|