The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model

Authors
Evans, G. B. A. Savin, N. E.
Citation
A. Evans, G. B. et E. Savin, N., The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model, Annals of statistics , 9(5), 1981, pp. 1114-1118
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
9
Issue
5
Year of publication
1981
Pages
1114 - 1118
Database
ACNP
SICI code
Abstract
The limit distribution of the least squares estimator ^α of the parameter α of the first order stochastic difference equation, in the boundary case α=1, is calculated.