Sample path properties of an explosive double autoregressive model
研究了爆炸性双自回归模型样本路径的性质，发现经过适当标准化后，样本路径弱收敛于几何布朗运动，结果可推广到非平稳随机系数自回归模型，并通过模拟验证。
This article studies sample path properties of an explosive double autoregressive (DAR) model. After suitable renormalization, it is shown that the sample path converges weakly to a geometric Brownian motion. This further strengthens our understanding of sample paths of nonstationary DAR processes. The obtained results can be extended to nonstationary random coefficient autoregressive (RCA) models. Simulation studies are carried out to support our results.