The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models
A unified approach which I call the Fredholm approach is suggested for the study of asymptotic behavior of estimators and" test statistics arising from nonstationary and/or noninvertible time series models. Some limit theorems are given concerning the distribution of (the ratio of) quadratic (plus linear) forms in random variables generated by a linear process that is not necessarily stationary. Especially, the limiting characteristic function is derived explicitly via the Fredholm determinant and resolvent of a given kernel. Some examples are also shown to illustrate our methodology.
Volume (Year): 6 (1990)
Issue (Month): 04 (December)
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