Limit theory for random coefficient first-order autoregressive process

DOI10.1080/03610920902940175MaRDI QIDQ3585291zbMATH OpenOpenAlexFDO

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

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

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Recommendations

Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
scientific article; zbMATH DE number 3915473
Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence
A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model
Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

Cites work

Asymptotic optimal inference for a class of nonlinear time series models
Convergence of stochastic processes
EMPIRICAL BAYES ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE PROCESSES
Large sample inference for conditional exponential families with applications to nonlinear time series
Limit theory for moderate deviations from a unit root
Parameter estimation for generalized random coefficient autoregressive processes
RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
Random coefficient autoregressive models: an introduction
Stopping times and tightness

Cited in

(23)

A test of correlation in the random coefficients of an autoregressive process
On the Autoregressive Model with Random Coefficients
scientific article; zbMATH DE number 66826 (Why is no real title available?)
Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
scientific article; zbMATH DE number 5230592 (Why is no real title available?)
Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
On an autoregressive model with time-dependent coefficients
On limit theorems for functional autoregressive processes with random coefficients
On first and second order stationarity of random coefficient models
NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
scientific article; zbMATH DE number 4111859 (Why is no real title available?)
A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model
STATIONARITY CONDITION FOR AR INDEX PROCESS
Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence
Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
On the first passage time of the parabolic boundary by the Markov random walk
First‐Order Autoregressive Processes with Heterogeneous Persistence
scientific article; zbMATH DE number 862390 (Why is no real title available?)
First order autoregressive periodically correlated model in Banach spaces: existence and central limit theorem
On the sample variance of explosive random coefficient autoregressive processes
Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
The smallest asymptotic variance estimator for generalized random coefficient autoregressive models
Least squares estimation for critical random coefficient first-order autoregressive processes

This page was built for publication: Limit theory for random coefficient first-order autoregressive process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3585291)