World Scientific Publishing Co. Pte Ltd;Singapore: World Scientific Publishing Company
摘要:
摘要： We propose the path-integral technique to derive the characteristic function of the limiting distribution of the unit root test in a first order autoregressive model. Our results provide a new and useful approach to obtain the closed form of the characteristic function of a random variable associated with the limiting distribution, which is realized as a ratio of Brownian functionals on the classical Wiener space. 出版者： Singapore: World Scientific Publishing Company 出版日期： 2013-12 出處： Infinite dimensional analysis, quantum probability, and related topics, 2013-12, Vol.16 (4), p.1350029 版權： 2013, World Scientific Publishing Company 版權： 2013. World Scientific Publishing Company 識別號： ISSN: 0219-0257 識別號： EISSN: 1793-6306 識別號： DOI: 10.1142/S021902571350029X
