NEARLY UNSTABLE MULTIDIMENSIONAL AR PROCESSES

Authors
KORMOS J PAP G
Citation
J. Kormos et G. Pap, NEARLY UNSTABLE MULTIDIMENSIONAL AR PROCESSES, Computers & mathematics with applications, 34(10), 1997, pp. 1-7
Citations number
8
Journal title
Computers & mathematics with applications → ACNP
ISSN journal
08981221
Volume
34
Issue
10
Year of publication
1997
Pages
1 - 7
Database
ISI
SICI code
0898-1221(1997)34:10<1:NUMAP>2.0.ZU;2-0
Abstract
The limiting distribution of the likelihood ratio is given for the hyp othesis of unstability in case of nearly unstable multidimensional Gau ssian AR(1) processes.