THE LARGE-SAMPLE DISTRIBUTION OF THE ROOTS OF THE 2ND-ORDER AUTOREGRESSIVE POLYNOMIAL

Authors
PANTULA SG FULLER WA
Citation
Sg. Pantula et Wa. Fuller, THE LARGE-SAMPLE DISTRIBUTION OF THE ROOTS OF THE 2ND-ORDER AUTOREGRESSIVE POLYNOMIAL, Biometrika, 80(4), 1993, pp. 919-923
Citations number
4
Categorie Soggetti
Mathematical Methods, Biology & Medicine","Statistic & Probability
Journal title
Biometrika → ACNP
ISSN journal
00063444
Volume
80
Issue
4
Year of publication
1993
Pages
919 - 923
Database
ISI
SICI code
0006-3444(1993)80:4<919:TLDOTR>2.0.ZU;2-6
Abstract
The roots of the characteristic polynomial of an autoregressive proces s are sometimes of interest. In this paper, we show that the estimated roots of a second order, autoregressive polynomial have different asy mptotic distributions depending upon whether the true roots are equal or unequal.