The local asymptotic normality of a class of generalized random coefficient autoregressive processes

DOI10.1016/S0167-7152(96)00178-2zbMath0899.62017MaRDI QIDQ1380643

Ishwar V. Basawa, Sun Young Hwang

Publication date: 8 March 1998

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

zbMATH Keywords

local asymptotic normality; random coefficient models; nonlinear time series; asymptotic inference

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

62E20: Asymptotic distribution theory in statistics

Cites Work

• Parameter estimation for generalized random coefficient autoregressive processes
• Asymptotic optimal inference for a class of nonlinear time series models
• Efficiencies of tests and estimators for p-order autoregressive processes when the error distribution is nonnormal
• On Large-Sample Estimation and Testing in Parametric Models
• A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• The Stability of Random Coefficient Autoregressive Models
• A characterization of limiting distributions of regular estimates
• Contiguity of Probability Measures
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