Parameter estimation for generalized random coefficient autoregressive processes

DOI10.1016/S0378-3758(97)00147-XzbMATH Open0942.62102MaRDI QIDQ1299549FDOQ1299549

Authors S. Y. Hwang, I. V. Basawa

Publication date 21 August 2000

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitystrong consistencynonlinear time seriesconditional least squaresasymptotic relative efficiencyrandom coefficient autoregressionweighted conditional leas squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Statistical inference for generalized random coefficient autoregressive model
• scientific article; zbMATH DE number 4149412
• scientific article; zbMATH DE number 4172209
• Estimation in Random Coefficient Autoregressive Models
• scientific article; zbMATH DE number 1868907
• Parametric estimation in autoregressive processes under quasi-associated random errors
• Estimation in nonstationary random coefficient autoregressive models
• Parameter estimation in a regression model with random coefficient autoregressive errors
• Empirical likelihood-based inference for stationary-ergodicity of the generalized random coefficient autoregressive model

Cites work

• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
• Asymptotic optimal inference for a class of nonlinear time series models
• EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Estimation in nonlinear time series models
• Large sample inference for conditional exponential families with applications to nonlinear time series
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• The Lindeberg-Levy Theorem for Martingales
• The Stability of Random Coefficient Autoregressive Models

Cited in

(57)

• Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference
• A class of \(k\)th-order dependence-driven random coefficient mixed thinning integer-valued autoregressive process to analyse epileptic seizure data and COVID-19 data
• Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
• A new RCAR(1) model based on explanatory variables and observations
• Limit theory for random coefficient first-order autoregressive process
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• On the estimation of an autoregressive parameter on the basis of the generalized method of least squares
• Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
• Generalized integer-valued random coefficient for a first order structure autoregressive (RCINAR) process
• Flexible binomial AR(1) processes using copulas
• Least squares estimation for critical random coefficient first-order autoregressive processes
• A comparison of parameter estimation methods for the first-order of random coefficient autoregressive model
• Empirical likelihood-based inference for stationary-ergodicity of the generalized random coefficient autoregressive model
• Random rounded integer-valued autoregressive conditional heteroskedastic process
• Random autoregressive models: a structured overview
• Estimation of variances in a heteroscedastic RCA(1) model.
• Statistical inference of generalized random coefficient autoregressive model based on combine estimation method
• The smallest asymptotic variance estimator for generalized random coefficient autoregressive models
• Variable selection in generalized random coefficient autoregressive models
• The least-squares criteria of the random coefficient dynamic regression model
• Coefficient constancy test in AR-ARCH models
• On a class of estimators in a multivariate RCA(1) model
• Estimation of parameters in the MDDRCINAR(p) model
• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• Non-stationary quasi-likelihood and asymptotic optimality
• Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• Maximum likelihood estimation of the DDRCINAR(p) model
• Asymptotic distribution for the self-weighted estimation of the error variance in GRCA(1) models
• M-estimates of autoregression with random coefficients
• A \(p\)-order signed integer-valued autoregressive (SINAR(\(p\))) model
• Coefficient constancy test in generalized random coefficient autoregressive model
• A new bivariate autoregressive model driven by logistic regression
• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
• Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter
• Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
• A higher-order random-parameter process for modeling and porecasting time series
• Statistical inference for generalized random coefficient autoregressive model
• Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model
• A test of correlation in the random coefficients of an autoregressive process
• Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
• The sequential estimation in stochastic regression model with random coefficients
• Quadratic random coefficient autoregression with linear-in-parameters volatility
• Test for parameter changes in generalized random coefficient autoregressive model
• On a class of generalized autoregressive processes
• Efficient detection of random coefficients in autoregressive models
• Random coefficient continuous systems: testing for extreme sample path behavior
• Coefficient constancy test in a random coefficient autoregressive model
• Estimation of Parameters in the NLAR(p) Model
• On the quasi-likelihood estimation for random coefficient autoregressions
• Normality test in random coefficient autoregressive models
• On random coefficient INAR(1) processes
• scientific article; zbMATH DE number 4172209 (Why is no real title available?)
• A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model

This page was built for publication: Parameter estimation for generalized random coefficient autoregressive processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1299549)