Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence

DOI10.1016/J.CAM.2010.11.004zbMath1207.62172OpenAlexW2016941329MaRDI QIDQ629519

Yong Zhang, Zhi-Wen Zhao, De-Hui Wang

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.11.004

zbMATH Keywords

asymptotic normalityconditional least squaresrandom coefficient \(AR(1)\) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (8)

Limit behaviors of the estimator of nonparametric regression model based on martingale difference errors ⋮ Stationary statistical experiments and the optimal estimator for a predictable component ⋮ Semiparametric regression estimation for longitudinal data in models with martingale difference error's structure ⋮ Complete consistency for the estimator of nonparametric regression model based on martingale difference errors ⋮ Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence ⋮ Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises ⋮ Divergent Perpetuities Modulated by Regime Switches ⋮ Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Limit theory for moderate deviations from a unit root
• Testing for unit root processes in random coefficient autoregressive models
• Empirical likelihood inference for partial linear models under martingale difference sequence
• Random coefficient autoregressive models: an introduction
• Stopping times and tightness
• Coefficient constancy test in a random coefficient autoregressive model
• Uniform Limit Theory for Stationary Autoregression
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• Autoregressive series with random parameters
• A Further Note on Stability in a Random Coefficient Model
• Random coefficient autoregression, regime switching and long memory

This page was built for publication: Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence