Minimum distance estimation for random coefficient autoregressive models

DOI10.1016/S0167-7152(96)00196-4zbMath0879.62088MaRDI QIDQ1365166

M. García

Publication date: 22 January 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

geometric ergodicityminimum distance estimatorabsolute regularitycoefficient autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Testing for parameter stability in \(RCA(1)\) time series

Cites Work

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• Some mixing properties of time series models
• Minimum Hellinger distance estimates for parametric models
• Semiparametric random coefficient regression models
• The mixing property of bilinear and generalised random coefficient autoregressive models
• Limit laws of a sequence determined by a random difference equation governing a one-compartment system
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
• The Stability of Random Coefficient Autoregressive Models

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