Minimum distance estimators for random coefficient autoregressive models

DOI10.1016/0167-7152(95)00180-8zbMATH Open0862.60024OpenAlexW2164230433MaRDI QIDQ1126147FDOQ1126147

Authors: Lianfen Qian 

Publication date: 25 May 1997

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00180-8

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zbMATH Keywords

asymptotic normalityasymptotic uniform quadraticityHodges-Lehmann type estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

Cites Work

• The Lindeberg-Levy Theorem for Martingales
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Computation of Certain Minimum Distance Estimators in AR[k] Model
• The Stability of Random Coefficient Autoregressive Models
• Minimum distance estimation and goodness-of-fit tests in first-order autoregression

Cited In (7)

• Title not available (Why is that?)
• On a class of estimators in a multivariate RCA(1) model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
• Random autoregressive models: a structured overview
• The smallest asymptotic variance estimator for generalized random coefficient autoregressive models

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