Parameter estimation for nearly nonstationary AR(1) processes
نویسندگان
چکیده
منابع مشابه
Nearly Nonstationary Arma Processes: Second Order Properties
Second order properties of nearly nonstationary ARMA processes are investigated in the cases when the autoregressive polynomial equation has (i) a real root close to 1; (ii) a real root close to -1; (iii) a pair of complex roots close to the unit circle. The effect of the closeness to the unit circle of the ARMA poles on its covariance and spectral density functions is considered. The obtained ...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 1994
ISSN: 0895-7177
DOI: 10.1016/0895-7177(94)90047-7