ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE PROCESS: AN EMPIRICAL BAYES APPROACH

DOI10.1111/J.1467-9892.1983.TB00361.XzbMath0523.62078OpenAlexW2054384520MaRDI QIDQ3673904

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Publication date: 1983

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00361.x

zbMATH Keywords

autoregressive time seriesempirical Bayes approachindependent realizationestimation of random coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (2)

Random autoregressive models: A structured overview ⋮ Some Results on the Estimation of a Higher Order Markov Chain

Cites Work

• Unnamed Item
• Empirical Bayes estimators in a multiple linear regression model
• Random coefficient first-order autoregressive models

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