Asymptotic behaviour of the least squares estimator of the mean of AR(1) models

Arató, Mátyás and Pap, Gyula and Varga, Katalin (2003) Asymptotic behaviour of the least squares estimator of the mean of AR(1) models. Analysis Mathematica, 29 (4). pp. 243-257. ISSN 0133-3852

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Abstract

The aim of the paper is to investigate the limit behaviour of the least squares estimator of the shift parameter of nearly unstable, nearly stable, and nearly explosive AR(1) models. Both zero start and stationary cases are treated. Connection with the maximum likelihood estimator of the shift parameter of continuous time AR(1) processes is also discussed.

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