Abstract
We investigate the asymptotic properties of one-dimensional Gaussian autoregressive processes of the second order. We prove the law of the iterated logarithm in the case of an unstable autoregressive model.
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Koval', V.A. Law of the Iterated Logarithm for Unstable Gaussian Autoregressive Models. Ukrainian Mathematical Journal 53, 488–492 (2001). https://doi.org/10.1023/A:1012304724204
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DOI: https://doi.org/10.1023/A:1012304724204