Ngai Hang Chan

Indiana University Bloomington ORCID: 0000-0002-4755-5180

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The Parameter Inference for Nearly Nonstationary Time Series

Ngai Hang Chan

Abstract A first-order autoregressive (AR) time series Yt = βY t-1 + εt is said to be nearly nonstationary if β is close to 1. For a nearly nonstationary AR(1) model, it is show...

1988 Journal of the American Statistical A... 98 citations

Researcher Info

h-index: 1
Publications: 1
Citations: 98
Institution: Indiana University Bloomington

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ORCID: 0000-0002-4755-5180

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h-index 1

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