Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model

DOI10.1080/03610920903523335zbMath1215.62095OpenAlexW1998596000MaRDI QIDQ3007852

Sankha Bhattacharya, Sugata Sen Roy

Publication date: 17 June 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903523335

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Random coefficient autoregressive models: an introduction
• Asymptotic optimal inference for a class of nonlinear time series models
• Adaptive estimation in a random coefficient autoregressive model
• Parameter estimation in a regression model with random coefficient autoregressive errors
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• A Further Note on Stability in a Random Coefficient Model
• √n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL

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