Parameter estimation in a regression model with random coefficient autoregressive errors
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Publication:2368340
DOI10.1016/0378-3758(93)90101-BzbMath0771.62069MaRDI QIDQ2368340
Ishwar V. Basawa, Sun Young Hwang
Publication date: 24 August 1993
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
nonlinear time series; regression; limit distribution; least squares estimators; \(m\)-dependent processes; random coefficient autoregressive errors; weighted central limit theorem
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
60F05: Central limit and other weak theorems
Related Items
PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS, Efficient detection of random coefficients in autoregressive models, Necessary and sufficient conditions for consistency of \(M\)-estimates in regression models with general errors
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