Estimators for the parameters of autoregressive time series are compared, emphasizing processes with a unit root or a root close to 1. The approximate bias of the sum of the autoregressive ...
Autoregressive models are a statistical technique used to predict future values in a sequence based on its past values. It is essentially a fancy way of saying that it uses the past to predict the ...
Two methods of parameter estimation for a general nonlinear autoregressive process with beta-ARCH innovations are discussed and the large sample properties of the estimators for each method are ...
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