Statistical inference for generalized random coefficient autoregressive model

DOI10.1016/j.mcm.2011.12.002zbMath1255.62289OpenAlexW2036195655MaRDI QIDQ1931089

De-Hui Wang, Zhi-Wen Zhao

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.12.002

zbMATH Keywords

asymptotic normalityconfidence regionsempirical likelihoodleast squares estimationgeneralized random coefficients autoregressive model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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