Estimation in nonstationary random coefficient autoregressive models
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Publication:3077655
DOI10.1111/j.1467-9892.2009.00615.xzbMath1224.62046arXiv0903.0022MaRDI QIDQ3077655
Lajos Horváth, Shiqing Ling, István Berkes
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0903.0022
consistency; asymptotic normality; law of large numbers; quasi-maximum likelihood; random coefficients model
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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