Skip Navigation

Biometrika 1993 80(4):919-923; doi:10.1093/biomet/80.4.919
© 1993 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by PANTULA, S. G.
Right arrow Articles by FULLER, W. A.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

MISCELLANEA

The large sample distribution of the roots of the second order autoregressive polynomial

SASTRY G. PANTULA1 and WAYNE A. FULLER2

1Department of Statistics, P.O. Box 8203, North Carolina State University Raleigh, North Carolina 27965, U.S.A.
2Department of Statistics, 221 Snedecor Hall, Iowa State University Ames, Iowa 50011, U.S.A.

The roots of the characteristic polynomial of an autoregressive process are sometimes of interest. In this paper, we show that the estimated roots of a second order autoregressive polynomial have different asymptotic distributions depending upon whether the true roots are equal or unequal.

Key Words: Confidence region • Equal roots • Singular normal • Unit root


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.