Boris Buchmann

most citedAsymptotic theory of least squares estimators for nearly unstable processes under strong dependence

42 citations · 56 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2009★ 14 cited

Integrated functionals of normal and fractional processes

Boris Buchmann, Ngai Hang Chan

Consider $Z_{t}^{f} (u) = \int_{0}^{t u} f (N_{s}) d s$ , $t > 0$ , $u \in [0, 1]$ , where $N = (N_{t})_{t \in R}$ is a normal process and $f$ is a measurable real-valued function satisfying $Ef(N_0)^…

math.ST2007★ 42 cited

Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence

Boris Buchmann, Ngai Hang Chan

This paper considers the effect of least squares procedures for nearly unstable linear time series with strongly dependent innovations. Under a general framework and appropriate sc…