Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Asymptotic distribution theory for some test statistics in autoregressive and Galton-Watson processes
Stockholm University, Faculty of Science, Department of Mathematics.
1992 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

In this thesis, we study asymptotic distributions of some unit root test statistics in autoregressive processes. We then generalize, at first to the situation when the true parameter value is close to one^(thenear integrated case), and secondly to the corresponding test problems in the Galton-Watson process (i.e. 'the branching process with immigration). The main tools used are Feynman-Kac’ formula, to obtain asuitable Laplace transform, together with saddlepoint approximation in the Fourier inversion formula.

Place, publisher, year, edition, pages
Stockholm: Stockholm University, 1992. , p. 9
Keywords [en]
Feynman-Kac’ formula, Saddlepoint approximation.
National Category
Mathematics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-164271Libris ID: 7610818ISBN: 91-7153-075-4 (print)OAI: oai:DiVA.org:su-164271DiVA, id: diva2:1278769
Public defence
1992-12-12, Föreläsningssalen, Fysikum, Stockholm, 10:15
Note

Härtill 3 uppsatser

Available from: 2019-01-15 Created: 2019-01-15 Last updated: 2019-01-15Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

PDF (Not accessible to users outside Sweden)
By organisation
Department of Mathematics
Mathematics

Search outside of DiVA

GoogleGoogle Scholar

isbn
urn-nbn

Altmetric score

isbn
urn-nbn
Total: 4 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf