In-fill asymptotic theory for structural break point in autoregression: A unified theory
This paper obtains the exact distribution of the maximum likelihood estimatorof structural break point in the OrnsteinñUhlenbeck process when a continuousrecord is available. The exact distribution is asymmetric, tri-modal, dependenton the initial condition. These three properties are also found in...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1968 https://ink.library.smu.edu.sg/context/soe_research/article/2967/viewcontent/In_fill_Asymptotic_Theory_for_Structural_Break_Point_in_Autoregression.pdf |
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| Institution: | Singapore Management University |
| Language: | English |