On a class of estimators in a multivariate RCA(1) model

zbMATH Open1226.62084MaRDI QIDQ3098519FDOQ3098519

Authors:

Publication date: 17 November 2011

Full work available at URL: https://eudml.org/doc/197107

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zbMATH Keywords

parameter estimationasymptotic variance matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

• The Lindeberg-Levy Theorem for Martingales
• Strict stationarity of generalized autoregressive processes
• Parameter estimation for generalized random coefficient autoregressive processes
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Adaptive estimation in a random coefficient autoregressive model
• Estimation in nonstationary random coefficient autoregressive models
• Estimation in Random Coefficient Autoregressive Models
• √n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL
• CWLS and ML estimates in a heteroscedastic RCA(1) model
• Random coefficient autoregressive models: an introduction
• Rate of convergence for a class of RCA estimators

Cited In (6)

• A first order continuous time <scp>VAR</scp> with random coefficients
• Rate of convergence for a class of RCA estimators
• Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood
• A new general class of RC association models: estimation and main properties
• Interval estimation of parameters in a multivariate \(t\)-model with Rao's simple structure
• A new RCAR(1) model based on explanatory variables and observations

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