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

Shih Feng Huang; Yuh Jia Lee; Hsin Hung Shih

doi:10.1142/S021902571350029X

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

Shih Feng Huang, Yuh Jia Lee, Hsin Hung Shih

統計研究所

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

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.

原文	???core.languages.en_GB???
文章編號	1350029
期刊	Infinite Dimensional Analysis, Quantum Probability and Related Topics
卷	16
發行號	4
DOIs	https://doi.org/10.1142/S021902571350029X
出版狀態	已出版 - 12月 2013

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10.1142/S021902571350029X

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abstract = "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.",

keywords = "Classical Wiener space, path-integral method, unit root test",

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N1 - Funding Information: ∗Research supported by the National Science Council of Taiwan.

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N2 - 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.

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

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