NEARLY UNSTABLE AR MODELS WITH COEFFICIENT MATRICES IN JORDAN NORMAL-FORM

Authors
VARGA K
Citation
K. Varga, NEARLY UNSTABLE AR MODELS WITH COEFFICIENT MATRICES IN JORDAN NORMAL-FORM, Computers & mathematics with applications (1987), 36(9), 1998, pp. 1-10
Citations number
14
Categorie Soggetti
Mathematics,"Computer Science Interdisciplinary Applications",Mathematics,"Computer Science Interdisciplinary Applications
Journal title
Computers & mathematics with applications (1987) → ACNP
ISSN journal
08981221
Volume
36
Issue
9
Year of publication
1998
Pages
1 - 10
Database
ISI
SICI code
0898-1221(1998)36:9<1:NUAMWC>2.0.ZU;2-N
Abstract
Nearly unstable multidimensional AR models are studied where the coeff icient matrices are given in Jordan normal form. Weak convergence of t he sequence of the appropriately normalized LSE's of the eigenvalues i s proved. The limit distribution is compared with the MLE of the eigen value of the coefficient matrix of the corresponding continuous time m odel. (C) 1998 Elsevier Science Ltd. All rights reserved.