The properties of nearly unstable ARp models
Second order properties of nearly nonstacionary autoregressive (AR) processes are investigated in the cases when an autoregressive polynomial equation has: (i) a real root close to 1; (ii) a real mot close to —1; (iii) a pair of complex roots close to the unit circle. The effect of the closeness to...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
1997-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Online Access: | https://www.zurnalai.vu.lt/LMR/article/view/38243 |
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