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)

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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)

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Cited In (56)

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• The least-squares criteria of the random coefficient dynamic regression model
• Variable selection in generalized random coefficient autoregressive models
• Non-stationary quasi-likelihood and asymptotic optimality
• Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
• A test of correlation in the random coefficients of an autoregressive process
• Test for parameter changes in generalized random coefficient autoregressive model
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Limit theory for random coefficient first-order autoregressive process
• Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
• M-estimates of autoregression with random coefficients
• Random coefficient continuous systems: testing for extreme sample path behavior
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• Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter
• Efficient detection of random coefficients in autoregressive models
• Estimation of variances in a heteroscedastic RCA(1) model.
• Estimation of parameters in the MDDRCINAR(p) model
• Flexible binomial AR(1) processes using copulas
• Asymptotic distribution for the self-weighted estimation of the error variance in GRCA(1) models
• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• Coefficient constancy test in a random coefficient autoregressive model
• 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
• The local asymptotic normality of a class of generalized random coefficient autoregressive processes
• Quadratic random coefficient autoregression with linear-in-parameters volatility
• On a class of generalized autoregressive processes
• Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
• On a class of estimators in a multivariate RCA(1) model
• A new bivariate autoregressive model driven by logistic regression
• Coefficient constancy test in generalized random coefficient autoregressive model
• On random coefficient INAR(1) processes
• Coefficient constancy test in AR-ARCH models
• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• 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
• Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model
• Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
• A \(p\)-order signed integer-valued autoregressive (SINAR(\(p\))) model
• Estimation of Parameters in the NLAR(p) Model
• A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model
• Random rounded integer-valued autoregressive conditional heteroskedastic process
• Random autoregressive models: a structured overview
• Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
• 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
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• The smallest asymptotic variance estimator for generalized random coefficient autoregressive models
• Statistical inference for generalized random coefficient autoregressive model
• On the quasi-likelihood estimation for random coefficient autoregressions
• Generalized integer-valued random coefficient for a first order structure autoregressive (RCINAR) process
• Normality test in random coefficient autoregressive models
• Least squares estimation for critical random coefficient first-order autoregressive processes
• Maximum likelihood estimation of the DDRCINAR(p) model
• A higher-order random-parameter process for modeling and porecasting time series

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