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Explosive AR(1) process with independent but not identically distributed errors

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dc.contributor.authorKim, Tae Yoon-
dc.contributor.authorHwang, Sun Young-
dc.contributor.authorOh, Haejune-
dc.date.available2021-02-22T05:23:10Z-
dc.date.issued2020-09-
dc.identifier.issn1226-3192-
dc.identifier.issn2005-2863-
dc.identifier.urihttps://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/1261-
dc.description.abstractAnderson (The Annals of Mathematical Statistics 30(3):676-687, 1959) studied the limiting distribution of the least square estimator for explosiveAR(1) process under the independent and identically distributed (iid) condition on error i.e., Xt =.Xt- 1 + et where. > 1 and et is iid error with Ee = 0 and Ee2 < 8. This paper is mainly concerned about the limiting distribution of the least square estimator of., that is.<^>, when errors are not identically distributed. In addition, we provide an approximate description of the limiting distribution of n-1 j=0.- j en- j when. > 1 as n -> infinity.-
dc.format.extent20-
dc.language영어-
dc.language.isoENG-
dc.publisherSPRINGER HEIDELBERG-
dc.titleExplosive AR(1) process with independent but not identically distributed errors-
dc.typeArticle-
dc.publisher.location독일-
dc.identifier.doi10.1007/s42952-019-00032-w-
dc.identifier.scopusid2-s2.0-85079623757-
dc.identifier.wosid000522858200013-
dc.identifier.bibliographicCitationJOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.49, no.3, pp 702 - 721-
dc.citation.titleJOURNAL OF THE KOREAN STATISTICAL SOCIETY-
dc.citation.volume49-
dc.citation.number3-
dc.citation.startPage702-
dc.citation.endPage721-
dc.type.docTypeArticle; Early Access-
dc.identifier.kciidART002633128-
dc.description.isOpenAccessN-
dc.description.journalRegisteredClassscie-
dc.description.journalRegisteredClassscopus-
dc.description.journalRegisteredClasskci-
dc.relation.journalResearchAreaMathematics-
dc.relation.journalWebOfScienceCategoryStatistics & Probability-
dc.subject.keywordPlusLIMIT THEORY-
dc.subject.keywordAuthorExplosive AR(1) process-
dc.subject.keywordAuthorNon-identical distribution-
dc.subject.keywordAuthorLeast square estimator-
dc.identifier.urlhttps://link.springer.com/article/10.1007%2Fs42952-019-00032-w-
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