Path integral method for limiting distribution of an estimator arising from an ar(1)-process with a unit root

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105873

Title:	Path integral method for limiting distribution of an estimator arising from an ar(1)-process with a unit root
Authors:	黃士峰;HUANG, SHIH-FENG;LEE, YUH-JIA;SHIH, HSIN-HUNG
Contributors:	理學院統計研究所
Keywords:	Autoregressive models;Autoregressive processes;Characteristic functions;Constraining;Functionals;Integrals;Metric space;Random variables
Date:	2013-12-01
Issue Date:	2026-04-23 12:58:32 (UTC+8)
Publisher:	World Scientific Publishing Co. Pte Ltd;Singapore: World Scientific Publishing Company
Abstract:	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
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

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