Papers by Tjacco van der Meer
In this paper nearly unstable AR(p) processes (in other words, models with characteristic roots n... more In this paper nearly unstable AR(p) processes (in other words, models with characteristic roots near the unit circle) are studied. Our main aim is to describe the asymptotic behaviour of the least squares estimators of the coecients. A convergence result is presented for the general complex-valued case. The limit distribution is given by the help of some continuous time AR processes. We apply the results for real-valued nearly unstable AR(p) models. In this case the limit distribution can be identied with the maximum likelihood estimator of the coecients of the corresponding continuous time AR processes.
Uploads
Papers by Tjacco van der Meer