Asymptotic Distribution of an Estimator of the Boundary Parameter of an Unstable Process
不稳定过程边界参数估计量的渐近分布
The limit distribution of the least squares estimator $\hat{\alpha}$ of the parameter $\alpha$ of the first order stochastic difference equation, in the boundary case $|\alpha| = 1$, is presented. With this, the asymptotic distributional problem for any real $\alpha$ in the first order case is completely settled.