Minimum distance estimation for random coefficient autoregressive models

DOI10.1016/S0167-7152(96)00196-4MaRDI QIDQ1365166zbMATH OpenFDO

Authors M. García

Publication date 22 January 1998

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

zbMATH Keywords

geometric ergodicityabsolute regularityminimum distance estimatorcoefficient autoregressive models

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Limit laws of a sequence determined by a random difference equation governing a one-compartment system
• Minimum Hellinger distance estimates for parametric models
• 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
• Semiparametric random coefficient regression models
• Some mixing properties of time series models
• The Stability of Random Coefficient Autoregressive Models
• The mixing property of bilinear and generalised random coefficient autoregressive models

Cited in

(9)

• scientific article; zbMATH DE number 5278594 (Why is no real title available?)
• On a class of estimators in a multivariate RCA(1) model
• scientific article; zbMATH DE number 474566 (Why is no real title available?)
• Testing for parameter stability in \(RCA(1)\) time series
• scientific article; zbMATH DE number 947418 (Why is no real title available?)
• Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
• Minimum distance estimation in AR(1)-processes
• Minimum distance estimation in random coefficient regression models
• The smallest asymptotic variance estimator for generalized random coefficient autoregressive models

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