Journal of Statistical Planning and Inference 138(11) 3525-3537 2008年11月
In this paper we discuss some distributional properties of quadratic functionals of the ordinary and fractional Brownian motions (fBms). As far as the ordinary Brownian motion (Bm) is concerned, those properties have been established extensively. ...
JOURNAL OF STATISTICAL PLANNING AND INFERENCE 138(11) 3525-3537 2008年11月
In this paper we discuss some distributional properties of quadratic functionals of the ordinary and fractional Brownian motions (fBms). As far as the ordinary Brownian motion (Bm) is concerned, those properties have been established extensively. ...
Journal of the Japan Statistical Society 38(1) 145-155 2008年
This paper deals with nonstationary autoregressive(AR) models with complex roots on the unit circle. We examine the asymptotic properties of the least squares estimators (LSEs) in the model. We also extend the model to the case where the error ter...