2 papers
math.ST2023
Testing for the extent of instability in nearly unstable processes
Marie Badreau, Frédéric Proïa
This paper deals with unit root issues in time series analysis. It has been known for a long time that unit root tests may be flawed when a series although stationary has a root cl…
math.ST2022
Consistency and asymptotic normality in a class of nearly unstable processes
Marie Badreau, Frédéric Proïa
This paper deals with inference in a class of stable but nearly-unstable processes. Autoregressive processes are considered, in which the bridge between stability and instability i…