Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152754 | Statistics & Probability Letters | 2008 | 6 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
S.Y. Hwang, J.S. Baek,