Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary cases wh...

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Bibliographic Details
Main Authors: GIRAITIS, Liudas, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Asymptotic normality
Integrated periodogram
Linear process
Local to unity
Localizing coefficient
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1831
https://ink.library.smu.edu.sg/context/soe_research/article/2830/viewcontent/MeanAutocovarianceFunctionEstimation_2012.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1831
https://ink.library.smu.edu.sg/context/soe_research/article/2830/viewcontent/MeanAutocovarianceFunctionEstimation_2012.pdf

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