Asymptotic properties of nearly unstable multivariate AR processes

Authors
Pap, G van Zuijlen, MCA
Citation
G. Pap et Mca. Van Zuijlen, Asymptotic properties of nearly unstable multivariate AR processes, COMPUT MATH, 37(2), 1999, pp. 11-19
Citations number
18
Categorie Soggetti
Computer Science & Engineering
Journal title
COMPUTERS & MATHEMATICS WITH APPLICATIONS
ISSN journal
08981221 → ACNP
Volume
37
Issue
2
Year of publication
1999
Pages
11 - 19
Database
ISI
SICI code
0898-1221(199901)37:2<11:APONUM>2.0.ZU;2-L
Abstract
Nearly unstable multidimensional AR models are studied where the coefficien t matrices are given in Jordan normal form. Weak convergence of the sequenc e of the appropriately normalized LSEs of the coefficient matrices is prove d. A natural connection between the discrete and the corresponding continuo us time models is presented. (C) 1999 Elsevier Science Ltd. All rights rese rved.