Limit Theory for Random Coefficient First-Order Autoregressive Process

DOI10.1080/03610920902940175zbMath1318.62282MaRDI QIDQ3585291

Yong Zhang, Xiao-Yun Yang

Publication date: 19 August 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920902940175

zbMATH Keywords

asymptotic normality; limit theory; conditional least squares; random coefficient AR(1)

Mathematics Subject Classification ID

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

60F05: Central limit and other weak theorems

Related Items

Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence, On the first passage time of the parabolic boundary by the Markov random walk, Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions, Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors, Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

Cites Work

• Limit theory for moderate deviations from a unit root
• Random coefficient autoregressive models: an introduction
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• Parameter estimation for generalized random coefficient autoregressive processes
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• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Convergence of stochastic processes