Article ID Journal Published Year Pages File Type
1152754 Statistics & Probability Letters 2008 6 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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