Limit theory for random coefficient first-order autoregressive process

DOI10.1080/03610920902940175zbMATH Open1318.62282OpenAlexW2033423563MaRDI QIDQ3585291FDOQ3585291

Authors: 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

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zbMATH Keywords

asymptotic normalityconditional least squareslimit theoryrandom coefficient AR(1)

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (23)

• A test of correlation in the random coefficients of an autoregressive process
• On the Autoregressive Model with Random Coefficients
• Title not available (Why is that?)
• Title not available (Why is that?)
• Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
• 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
• Title not available (Why is that?)
• 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
• On the first passage time of the parabolic boundary by the Markov random walk
• Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
• First‐Order Autoregressive Processes with Heterogeneous Persistence
• Title not available (Why is that?)
• 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

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