In-fill asymptotic theory for structural break point in autoregression
This article obtains the exact distribution of the maximum likelihood estimator of structural break point in the Ornstein–Uhlenbeck process when a continuous record is available. The exact distribution is asymmetric, trimodal, dependent on the initial condition. These three properties are also found...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2021
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2551 https://ink.library.smu.edu.sg/context/soe_research/article/3550/viewcontent/In_fill_Asymptotic_Theory_for_Structural_Break_Point_in_Autoregression.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |