Explosive AR(1) process with independent but not identically distributed errors
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Tae Yoon | - |
dc.contributor.author | Hwang, Sun Young | - |
dc.contributor.author | Oh, Haejune | - |
dc.date.available | 2021-02-22T05:23:10Z | - |
dc.date.issued | 2020-09 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.issn | 2005-2863 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/1261 | - |
dc.description.abstract | Anderson (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.extent | 20 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | SPRINGER HEIDELBERG | - |
dc.title | Explosive AR(1) process with independent but not identically distributed errors | - |
dc.type | Article | - |
dc.publisher.location | 독일 | - |
dc.identifier.doi | 10.1007/s42952-019-00032-w | - |
dc.identifier.scopusid | 2-s2.0-85079623757 | - |
dc.identifier.wosid | 000522858200013 | - |
dc.identifier.bibliographicCitation | JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.49, no.3, pp 702 - 721 | - |
dc.citation.title | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.volume | 49 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 702 | - |
dc.citation.endPage | 721 | - |
dc.type.docType | Article; Early Access | - |
dc.identifier.kciid | ART002633128 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | LIMIT THEORY | - |
dc.subject.keywordAuthor | Explosive AR(1) process | - |
dc.subject.keywordAuthor | Non-identical distribution | - |
dc.subject.keywordAuthor | Least square estimator | - |
dc.identifier.url | https://link.springer.com/article/10.1007%2Fs42952-019-00032-w | - |
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