A higher-order random-parameter process for modeling and porecasting time series

DOI10.1080/03610928808829635MaRDI QIDQ3787333zbMATH OpenOpenAlexFDO

Authors Nien Fan Zhang, Robert V. Foutz

Publication date 1988

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

Full work available at URL https://doi.org/10.1080/03610928808829635

zbMATH Keywords

doubly stochastic processexistenceGAR(p) processmaximum likelihood estimatesminimum mean-squared-error forecastsmultiple time seriesrandom-parameter autoregressive processstationaritywhite noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• Parameter estimation for generalized random coefficient autoregressive processes
• First-order seasonal autoregressive processes with periodically varying parameters
• scientific article; zbMATH DE number 3913496
• scientific article; zbMATH DE number 958377

Cites work

• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

Cited in

(3)

• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• scientific article; zbMATH DE number 4126459 (Why is no real title available?)
• scientific article; zbMATH DE number 958377 (Why is no real title available?)

This page was built for publication: A higher-order random-parameter process for modeling and porecasting time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3787333)