Estimation in nonstationary random coefficient autoregressive models

DOI10.1111/j.1467-9892.2009.00615.xzbMath1224.62046arXiv0903.0022MaRDI QIDQ3077655

Lajos Horváth, Shiqing Ling, István Berkes

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.0022

zbMATH Keywords

consistency; asymptotic normality; law of large numbers; quasi-maximum likelihood; random coefficients model

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

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