ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE PROCESS: AN EMPIRICAL BAYES APPROACH

DOI10.1111/J.1467-9892.1983.TB00361.XMaRDI QIDQ3673904zbMATH OpenOpenAlexFDO

Authors

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 approachestimation of random coefficientindependent realization

Mathematics Subject Classification ID

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

Cites work

• Empirical Bayes estimators in a multiple linear regression model
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Random coefficient first-order autoregressive models

Cited in

(2)

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

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