Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
From MaRDI portal
Publication:3094073
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
Cited in
(33)- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- Simultaneous bootstrap for all three parameters in random coefficient autoregressive models
- Bootstrap for random coefficient autoregressive models
- Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode
- A test of correlation in the random coefficients of an autoregressive process
- 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
- A test for strict stationarity in a random coefficient autoregressive model of order 1
- Testing for strict stationarity in a random coefficient autoregressive model
- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Quadratic random coefficient autoregression with linear-in-parameters volatility
- scientific article; zbMATH DE number 4088627 (Why is no real title available?)
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood
- 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
- Monitoring parameter changes in RCA(\(p\)) models
- Random autoregressive models: a structured overview
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
- Estimation in nonstationary random coefficient autoregressive models
- The strong consistency of quasi-maximum likelihood estimators for \(p\)-order random coefficient autoregressive (RCA) models
- On the quasi-likelihood estimation for random coefficient autoregressions
- Sample path properties of an explosive double autoregressive model
- 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)
