| Article ID: | iaor2000586 |
| Country: | United Kingdom |
| Volume: | 37 |
| Issue: | 2 |
| Start Page Number: | 11 |
| End Page Number: | 19 |
| Publication Date: | Jan 1999 |
| Journal: | Computers & Mathematics with Applications |
| Authors: | Pap G., Zuijlen M.C.A. van |
| Keywords: | ARIMA processes |
Nearly unstable multidimensional autoregressive models are studied where the coefficient matrices are given in Jordan normal form. Weak convergence of the sequence of the appropriately normalized least squares estimates of the coefficient matrices is proved. A natural connection between the discrete and the corresponding continuous time models is presented.