Limiting distributions for explosive PAR(1) time series with strongly mixing innovation
نویسندگان
چکیده
This work deals with the limiting distribution of the least squares estimators of the coefficients ar of an explosive periodic autoregressive of order 1 (PAR(1)) time series Xr = arXr−1+ur when the innovation {uk} is strongly mixing. More precisely {ar} is a periodic sequence of real numbers with period P > 0 and such that ∏P r=1 |ar| > 1. The time series {ur} is periodically distributed with the same period P and satisfies the strong mixing property, so the random variables ur can be correlated.
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