Some new exact distributions on coupon collector’s waiting time problems are given based on a generalized Pólya urn sampling. In particular, usual Pólya urn sampling generates an exchangeable random sequence. In this case, an alternative derivation of the distribution is also obtained from...

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration vectors is given a simple parametric formulation in...

This paper presents the likelihood ratio (LR) test for the number of cointegrating and multi-cointegrating relations in the I(2) vector autoregressive model. It is shown that the asymptotic distribution of the LR test for the (multi-) cointegration ranks is identical to the asymptotic...