Asymptotic results for polygonal processes related to an autoregression

作者：Rackauskas Alfredas^*; Rastene Irma

来源：Lithuanian Mathematical Journal, 2012, 52(2): 181-195.

DOI：10.1007/s10986-012-9166-4

• AR(1) model
• polygonal process
• residuals
• functional limit theorems

We establish functional central limit theorems for polygonal process constructed from consecutive estimators of a simple AR(1) model. We consider both stationary and unit root cases. The results are applied to change segment analysis.

• 出版日期2012-4