Random coefficient autoregressive models: an introduction
From MaRDI portal
Publication:1170857
zbMath0497.62081MaRDI QIDQ1170857
D. F. Nicholls, Barry G. Quinn
Publication date: 1982
Published in: Lecture Notes in Statistics (Search for Journal in Brave)
consistencyasymptotic propertiescentral limit theoremleast squaressimulationsmaximum likelihood estimatorsstability of solutionsrandom coefficient autoregressive modelsbest predictorbest linear predictorcomputational problemsexistence of stationary solutions
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Related Items
Random autoregressive models: A structured overview, CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH, Limit theorems for iterated random functions, The Cusum Test for Parameter Change in Time Series Models, Testing for random coefficient autoregressive and stochastic unit root models, A new bivariate autoregressive model driven by logistic regression, A new autoregressive process driven by explanatory variables and past observations: an application to PM 2.5, QMLE for periodic absolute value GARCH models, Normality test in random coefficient autoregressive models, The strong consistency of quasi-maximum likelihood estimators for \(p\)-order random coefficient autoregressive (RCA) models, Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors, A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency, A first order continuous time <scp>VAR</scp> with random coefficients, A new INAR model based on Poisson-BE2 innovations, Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models, Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood, Variable selection for an improved INAR(1) model with explanatory variables using 2SPCLS, Testing homogeneity over time of a parameter of a markov sequence, Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations, Risk-efficient sequential estimation of multivariate random coefficient autoregressive process, Unnamed Item, Unnamed Item, Risk efficient estimation of fully dependent random coefficient autoregressive models of general order, STATIONARITY OF THE SOLUTION OF Xt= AtXt-1+ εtAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES, BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS, L1 penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors, NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS, A Note on Non‐Negative Arma Processes, Maximum quasi‐likelihood estimation for the near(2) model, Large sample properties of parameter least squares estimates for time‐varying arma models, Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity, Multivariate arma models with generalized autoregressive linear innovation, Unnamed Item, Mixed Portmanteau Tests for Time‐Series Models, Unnamed Item, Random coefficient autoregression, regime switching and long memory, Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation, Stability conditions for heteroscedastic factor models with conditionally autoregressive betas, Random coefficient autoregressive processes and the PUCK model with fluctuating potential, Sample path properties of an explosive double autoregressive model, On inference for threshold autoregressive models., M-estimates of autoregression with random coefficients, Flexible binomial AR(1) processes using copulas, Unnamed Item, Variable selection in generalized random coefficient autoregressive models, Weighted least squares estimation in a binary random coefficient panel model with infinite variance, On weighted \(U\)-statistics for stationary processes., The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model., A bivariate uniform autoregressive process, RCA models with correlated errors, SOME DOUBLY STOCHASTIC TIME SERIES MODELS, Prediction in random coefficient regression, A Broad Class of Partially Specified Autoregressions on Multi-Casting Data, On the approximation of continuous time threshold ARMA processes, The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case, ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL, On periodic time-varying bilinear processes: structure and asymptotic inference, Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing, Distribution of recirculating lymphocytes: A stochastic model foundation, The Fisher effect in the presence of time-varying coefficients, A similarity-based approach to time-varying coefficient non-stationary autoregression, Comments on the presence of serial correlation in the random coefficients of an autoregressive process, Zero truncated Poisson integer-valued AR\((1)\) model, Inference for the random coefficients bifurcating autoregressive model for cell lineage studies, Kernel estimation for time series: an asymptotic theory, Asymptotic theory for curve-crossing analysis, On first and second order stationarity of random coefficient models, Simultaneous bootstrap for all three parameters in random coefficient autoregressive models, Unnamed Item, A new non-linear \(AR(1)\) time series model having approximate beta marginals, Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions, Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence, Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance, Random coefficient regressions: parametric goodness-of-fit tests., New mixed time series models having approximated beta marginals, RCA model with quadratic GARCH innovation distribution, Covariance operator estimation of a functional autoregressive process with random coefficients, Conditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensions, Doubly stochastic models with GARCH innovations, The split-BREAK model, Efficient detection of random coefficients in autoregressive models, Mellin's transform and application to some time series models, Estimating function approach for CHARN models, Least squares estimation in a simple random coefficient autoregressive model, Unnamed Item, GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION, ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY, Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach, Estimation of Parameters in the NLAR(p) Model, Testing for randomness in a random coefficient autoregression model, A note on GARCH model identification, Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model, Estimation of weak ARMA models with regime changes, Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient, Pension Funding with Moving Average Rates of Return, Fuzzy coefficient volatility (FCV) models with applications, Recent developments in volatility modeling and applications, Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients, Estimation in covariate-adjusted regression, Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors, Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions, A nonlinear time series model and estimation of missing observations, Random coefficient volatility models, Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality, Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode, A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes, On linear processes with dependent innovations, Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients., Limit Theory for Random Coefficient First-Order Autoregressive Process, Least squares estimation for critical random coefficient first-order autoregressive processes, Unnamed Item, A test of correlation in the random coefficients of an autoregressive process, Time series modeling on dynamic networks, Monitoring parameter changes for random coefficient autoregressive models, Combining estimating functions for volatility, Generalized integer-valued random coefficient for a first order structure autoregressive (RCINAR) process, Estimation in nonstationary random coefficient autoregressive models, Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables, Locally most powerful test for the random coefficient autoregressive model, A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1)), NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES, Weak limits of random coefficient autoregressive processes and their application in ruin theory, Adaptive estimation in a random coefficient autoregressive model, RCA models with GARCH innovations, Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors, Monitoring Changes in RCA Models, Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model, The least-squares criteria of the random coefficient dynamic regression model, Resolvent estimators for functional autoregressive processes with random coefficients, On some properties of autoregressive conditional Poisson (ACP) models, On some nonstationary, nonlinear random processes and their stationary approximations, Coefficient constancy test in a random coefficient autoregressive model, Prediction via estimating functions, Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter, Forecasting volatility, Limit theorems for bifurcating integer-valued autoregressive processes, Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease, Estimation in Random Coefficient Autoregressive Models, Quadratic random coefficient autoregression with linear-in-parameters volatility, Asymptotic expansions in sequential estimation for the first-order random coefficient autoregressive model: Regenerative approach
