THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

DOI10.1111/J.1467-9892.1981.TB00321.XMaRDI QIDQ3963908zbMATH OpenOpenAlexFDO

Authors D. F. Nicholls, Barry Quinn

Publication date 1981

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1981.tb00321.x

zbMATH Keywords

stationaritystrong consistencyrandom coefficient autoregressive modelsmaximum likelihood estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Newton-type methods (49M15)

Cites work

• Asymptotic Properties of Non-Linear Least Squares Estimators
• Autoregressive series with random parameters
• Multiple autoregressive models with random coefficients
• On asymptotic tests of composite hypotheses in nonstandard conditions
• Stochastic Stability of Short-Run Market Equilibrium Under Variations in Supply
• The Lindeberg-Levy Theorem for Martingales

Cited in

(21)

• Least squares estimation in a simple random coefficient autoregressive model
• Norming rates and limit theory for some time-varying coefficient autoregressions
• A similarity-based approach to time-varying coefficient non-stationary autoregression
• Coefficient constancy test in AR-ARCH models
• Monitoring parameter changes for random coefficient autoregressive models
• Monitoring parameter changes in RCA(\(p\)) models
• Bayesian forecasting for AR(1) models with normal coefficients
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
• Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
• Estimation in nonstationary random coefficient autoregressive models
• Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
• Limit theorems for bifurcating integer-valued autoregressive processes
• Locally most powerful test for the random coefficient autoregressive model
• A higher-order random-parameter process for modeling and porecasting time series
• Asymptotic results for random coefficient bifurcating autoregressive processes
• Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
• The sequential estimation in stochastic regression model with random coefficients
• Efficient detection of random coefficients in autoregressive models
• A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes
• Coefficient constancy test in a random coefficient autoregressive model

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