Least squares estimation for critical random coefficient first-order autoregressive processes
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Publication:2489808
DOI10.1016/j.spl.2005.08.024zbMath1085.62100OpenAlexW2027605884MaRDI QIDQ2489808
Sun Young Hwang, Tae Yoon Kim, Ishwar V. Basawa
Publication date: 28 April 2006
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.08.024
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
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Cites Work
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- Random coefficient autoregressive models: an introduction
- The foundations of finite sample estimation in stochastic processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- Martingale Central Limit Theorems
