Abstract
The limit distribution of the least squares estimator $\hat{\alpha}$ of the parameter $\alpha$ of the first order stochastic difference equation, in the boundary case $\alpha = 1$, is calculated.
Citation
G. B. A. Evans. N. E. Savin. "The Calculation of the Limiting Distribution of the Least Squares Estimator of the Parameter in a Random Walk Model." Ann. Statist. 9 (5) 1114 - 1118, September, 1981. https://doi.org/10.1214/aos/1176345591
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