Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
DOI10.5705/SS.2009.073zbMATH Open1232.62116OpenAlexW4244695740MaRDI QIDQ3094073FDOQ3094073
Authors: Alexander Aue, Lajos Horváth 
Publication date: 21 October 2011
Published in: STATISTICA SINICA (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5705/ss.2009.073
Recommendations
- Estimation in nonstationary random coefficient autoregressive models
- On the quasi-likelihood estimation for random coefficient autoregressions
- Estimation in Random Coefficient Autoregressive Models
- Unified interval estimation for random coefficient autoregressive models
- √n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (33)
- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- Bootstrap for random coefficient autoregressive models
- Simultaneous bootstrap for all three parameters in random coefficient autoregressive models
- A test of correlation in the random coefficients of an autoregressive process
- Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode
- Random coefficient continuous systems: testing for extreme sample path behavior
- A first order continuous time <scp>VAR</scp> with random coefficients
- Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
- Testing for strict stationarity in a random coefficient autoregressive model
- A test for strict stationarity in a random coefficient autoregressive model of order 1
- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Quadratic random coefficient autoregression with linear-in-parameters volatility
- Title not available (Why is that?)
- Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- Testing for randomness in a random coefficient autoregression model
- Comments on the presence of serial correlation in the random coefficients of an autoregressive process
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- Unified interval estimation for random coefficient autoregressive models
- A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes
- Shrinkage estimation strategy in quasi-likelihood models
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- A new iterative procedure for estimation of RCA parameters based on estimating functions
- Random autoregressive models: a structured overview
- Monitoring parameter changes in RCA(\(p\)) models
- Estimation in nonstationary random coefficient autoregressive models
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
- The strong consistency of quasi-maximum likelihood estimators for \(p\)-order random coefficient autoregressive (RCA) models
- Sample path properties of an explosive double autoregressive model
- On the quasi-likelihood estimation for random coefficient autoregressions
- Inference in nonstationary asymmetric GARCH models
- Asymptotic inference of unstable periodic ARCH processes
This page was built for publication: Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3094073)
