Limit Theory for Random Coefficient First-Order Autoregressive Process

DOI10.1080/03610920902940175zbMath1318.62282MaRDI QIDQ3585291

Yong Zhang, Xiao-Yun Yang

Publication date: 19 August 2010

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

Full work available at URL: https://doi.org/10.1080/03610920902940175

zbMATH Keywords

asymptotic normality; limit theory; conditional least squares; random coefficient AR(1)

Mathematics Subject Classification ID

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

60F05: Central limit and other weak theorems

Related Items

Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence, Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

Cites Work

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• Convergence of stochastic processes