Asymptotic Distribution of an Estimator of the Boundary Parameter of an Unstable Process
Rao, M. M.
Ann. Statist., Tome 6 (1978) no. 1, p. 185-190 / Harvested from Project Euclid
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The limit distribution of the least squares estimator $\hat{\alpha}$ of the parameter $\alpha$ of the first order stochastic difference equation, in the boundary case $|\alpha| = 1$, is presented. With this, the asymptotic distributional problem for any real $\alpha$ in the first order case is completely settled.
Publié le : 1978-01-14
Classification:  Limit distribution,  boundary parameter estimator,  unstable process,  invariance principle,  62E20,  62M10,  60F05 
@article{1176344077,
     author = {Rao, M. M.},
     title = {Asymptotic Distribution of an Estimator of the Boundary Parameter of an Unstable Process},
     journal = {Ann. Statist.},
     volume = {6},
     number = {1},
     year = {1978},
     pages = { 185-190},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344077}
}

Rao, M. M. Asymptotic Distribution of an Estimator of the Boundary Parameter of an Unstable Process. Ann. Statist., Tome 6 (1978) no. 1, pp.  185-190. http://gdmltest.u-ga.fr/item/1176344077/