Minimum distance estimators for random coefficient autoregressive models

DOI10.1016/0167-7152(95)00180-8MaRDI QIDQ1126147zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1416392 (Why is no real title available?)
• scientific article; zbMATH DE number 3084686 (Why is no real title available?)
• Computation of Certain Minimum Distance Estimators in AR[k] Model
• Minimum distance estimation and goodness-of-fit tests in first-order autoregression
• The Lindeberg-Levy Theorem for Martingales
• The Stability of Random Coefficient Autoregressive Models

Cited in

(7)

• scientific article; zbMATH DE number 947418 (Why is no real title available?)
• Random autoregressive models: a structured overview
• The smallest asymptotic variance estimator for generalized random coefficient autoregressive models
• On a class of estimators in a multivariate RCA(1) model
• scientific article; zbMATH DE number 5278594 (Why is no real title available?)
• Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
• scientific article; zbMATH DE number 474566 (Why is no real title available?)

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