AbstractIn this paper, a new asymptotic theory is developed for nearly nonstationary autoregressive processes of first and second order. A general model is investigated and a hypothesis testing method is proposed for it. In important special cases the limit distribution of the test statistic can be expressed in terms of functionals of simple diffusion processes
It is shown how the general analytical expression of an autoregression, whose stationary solution ha...
We construct prediction intervals for the observations of first-order autoregressive processes when ...
This volume contains a selection of papers presented at the fifth Franco - Belgian Meeting of Statis...
AbstractIn this paper, a new asymptotic theory is developed for nearly nonstationary autoregressive ...
Some tests for an epidemic type change in a first order nearly nonstationary autoregressive process ...
We study some Hölderian functional central limit theorems for the polygonal partial sum processes bu...
In this paper nearly nonstationary complex-valued AR(1) processes (in other words, models with chara...
In the AR(2) model, with a double root at unity, we consider the asymptotic distribution of the like...
The limiting distribution of the normalized periodogram ordinate is used to test for unit roots in t...
This master thesis examines unit root testing with the sequence of local alternatives. We analyse fi...
In an early article on near-unit root autoregression, Ahtola and Tiao (1984) studied the behavior of...
The limiting distribution of the normalized periodogram ordinate is used to test for unit roots in t...
The asymptotic distributions of the least-squares estimators of the parameters in autoregressive pro...
We provide a limit theory for a general class of kernel smoothed U-statistics that may be used for s...
AbstractWe study the detection of a possible change in a stationary autoregressive process of order ...
It is shown how the general analytical expression of an autoregression, whose stationary solution ha...
We construct prediction intervals for the observations of first-order autoregressive processes when ...
This volume contains a selection of papers presented at the fifth Franco - Belgian Meeting of Statis...
AbstractIn this paper, a new asymptotic theory is developed for nearly nonstationary autoregressive ...
Some tests for an epidemic type change in a first order nearly nonstationary autoregressive process ...
We study some Hölderian functional central limit theorems for the polygonal partial sum processes bu...
In this paper nearly nonstationary complex-valued AR(1) processes (in other words, models with chara...
In the AR(2) model, with a double root at unity, we consider the asymptotic distribution of the like...
The limiting distribution of the normalized periodogram ordinate is used to test for unit roots in t...
This master thesis examines unit root testing with the sequence of local alternatives. We analyse fi...
In an early article on near-unit root autoregression, Ahtola and Tiao (1984) studied the behavior of...
The limiting distribution of the normalized periodogram ordinate is used to test for unit roots in t...
The asymptotic distributions of the least-squares estimators of the parameters in autoregressive pro...
We provide a limit theory for a general class of kernel smoothed U-statistics that may be used for s...
AbstractWe study the detection of a possible change in a stationary autoregressive process of order ...
It is shown how the general analytical expression of an autoregression, whose stationary solution ha...
We construct prediction intervals for the observations of first-order autoregressive processes when ...
This volume contains a selection of papers presented at the fifth Franco - Belgian Meeting of Statis...
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