THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I

DOI10.1111/j.1467-9892.1980.tb00299.xzbMath0495.62083OpenAlexW2110117903MaRDI QIDQ3959320

D. F. Nicholls, Barry G. Quinn

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1980.tb00299.x

zbMATH Keywords

Monte Carlo experimentcentral limit theoremstrong consistencytwo stage regression procedureestimation of random coefficient autoregressive models

Mathematics Subject Classification ID

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

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Cites Work

• Multiple autoregressive models with random coefficients
• Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics
• Autoregressive series with random parameters
• A Further Note on Stability in a Random Coefficient Model
• Stability in a Random Coefficient Model
• The Lindeberg-Levy Theorem for Martingales

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