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초록
First order autoregressive model indexed by a supercritical Galton-Watson branching process is discussed. Limiting distributions of the least squares estimates are derived both for the stationary and explosive cases. It is shown that a certain random variable inherent in the branching process is acting as a mixing variable in limiting mixture distributions. In particular, with explosive Gaussian case, we obtain a mixture of Cauchy distributions rather than Cauchy. (C) 2010 Elsevier B.V. All rights reserved.
키워드
AR(1); Branching process; Cauchy mixture; Limiting mixture distribution
- 제목
- Limiting mixture distributions for AR(1) model indexed by a branching process
- 저자
- Hwang, S. Y.; Baek, J. S.
- 발행일
- 2010-12-01
- 유형
- Article
- 권
- 80
- 호
- 23-24
- 페이지
- 2003 ~ 2008