ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
研究了特征根接近单位圆的近单位根AR(p)过程，给出了系数最小二乘估计的渐近分布，并应用于实值模型，极限分布与连续时间AR过程的最大似然估计一致。
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 limit distribution can be identified with the maximum likelihood estimator of the coefficients of the corresponding continuous time AR processes.