The Calculation of the Limiting Distribution of the Least Squares Estimator of the Parameter in a Random Walk Model
Evans, G. B. A. ; Savin, N. E.
Ann. Statist., Tome 9 (1981) no. 1, p. 1114-1118 / 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 calculated.
Publié le : 1981-09-14
Classification:  Limit distribution,  boundary parameter estimator,  unstable process,  62E20,  62M10,  60F05 
@article{1176345591,
     author = {Evans, G. B. A. and Savin, N. E.},
     title = {The Calculation of the Limiting Distribution of the Least Squares Estimator of the Parameter in a Random Walk Model},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 1114-1118},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345591}
}

Evans, G. B. A.; Savin, N. E. The Calculation of the Limiting Distribution of the Least Squares Estimator of the Parameter in a Random Walk Model. Ann. Statist., Tome 9 (1981) no. 1, pp.  1114-1118. http://gdmltest.u-ga.fr/item/1176345591/