Monsour, Michael J.; Mikulski, Piotr W. - In: Statistics & Probability Letters 37 (1998) 2, pp. 141-147
The limiting distribution is obtained for the maximum likelihood estimator in the AR(p) process with a random and nonrandom normalization and all characteristic roots outside the unit circle, purely explosive process. Though these results have been in the literature, proofs have been omitted. A...