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 normality; asymptotic relative efficiency; nonlinear time series; strong consistency; random coefficient autoregression; conditional least squares; weighted conditional leas squares

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M05: Markov processes: estimation; hidden Markov models

Related Items

Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation, Generalized integer-valued random coefficient for a first order structure autoregressive (RCINAR) process, Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process, Coefficient constancy test in a random coefficient autoregressive model, The local asymptotic normality of a class of generalized random coefficient autoregressive processes, Efficient detection of random coefficients in autoregressive models, Coefficient constancy test in AR-ARCH models, The sequential estimation in stochastic regression model with random coefficients, Estimation of Parameters in the NLAR(p) Model

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