Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
强依赖下近不稳定过程最小二乘估计量的渐近理论
This paper considers the effect of least squares procedures for nearly unstable linear time series with strongly dependent innovations. Under a general framework and appropriate scaling, it is shown that ordinary least squares procedures converge to functionals of fractional Ornstein–Uhlenbeck processes. We use fractional integrated noise as an example to illustrate the important ideas. In this case, the functionals bear only formal analogy to those in the classical…