Parameter estimation for generalized random coefficient autoregressive processes

DOI10.1016/S0378-3758(97)00147-XzbMath0942.62102MaRDI QIDQ1299549

Ishwar V. Basawa, Sun Young Hwang

Publication date: 21 August 2000

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

zbMATH Keywords

asymptotic normalityasymptotic relative efficiencynonlinear time seriesstrong consistencyrandom coefficient autoregressionconditional least squaresweighted conditional leas squares

Mathematics Subject Classification ID

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

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Cites Work

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• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES
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