Subsampling the Autoregressive Parameter

Abstract

This chapter is concerned with making inference for p in the simple AR(1) model

$$ {X_{t}} = \mu + \rho {X_{{t - 1}}} + { \in _{t}}, $$

(12.1)

where {∈ _t } is a strictly stationary white noise innovation sequence and ρ ∈( —1, 1]. It is well known that if |ρ|.