ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR( p ) PROCESSES
近不稳定 AR(p) 过程的渐近推断
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 behavior of the least-squares estimators of the coefficients. 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…