Skip Navigation



Biometrika Advance Access published online on January 24, 2008
Biometrika, doi:10.1093/biomet/asm084
This Article
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
95/1/257    most recent
asm084v1
Right arrow References
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 Ling, S.
Right arrow Articles by Li, D.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© 2008 Biometrika Trust

Articles

Asymptotic inference for a nonstationary double AR(1) model

Shiqing Ling and Dong Li

Department of Mathematics, Hong Kong University of Science and Technology, Hong Kong maling{at}ust.hk malidong{at}ust.hk

Received for publication 1 June 2006. Revision received 1 June 2007.
  Abstract

We investigate the nonstationary double AR(1) model,


Formula

where, the {eta}t are independent standard normal random variables and Elog |{phi} + {eta}t{surd}{alpha}| >= 0. We show that the maximum likelihood estimator of is consistent and asymptotically normal. Combination of this result with that in Ling ([11]) for the stationary case gives the asymptotic normality of the maximum likelihood estimator of for any in the real line, with a root-n rate of convergence. This is in contrast to the results for the classical AR(1) model, corresponding to.

Key Words: Asymptotic distribution • Double AR(1) model • Maximum likelihood estimator


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.