کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1152048 958268 2013 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Arbitrary initial values and random norm for explosive AR(1) processes generated by stationary errors
چکیده انگلیسی

This article is concerned with a broad class of explosive AR(1) models. Allowing stationary dependence on the error process, we do not restrict ourselves to independent and identically distributed errors. The model accommodates, as special cases, GARCH errors, AR(1) errors and Gaussian ARMA errors. The error distribution is permitted to be non-normal. To circumvent the effect of initial values, the limit distribution of the least squares estimate using a random norm (rather than a constant norm) is derived. It is shown that the limit distribution using a random norm is free from the initial value provided the error is symmetrically distributed about zero.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 83, Issue 1, January 2013, Pages 127–134
نویسندگان
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