THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
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Publication:3963908
DOI10.1111/J.1467-9892.1981.TB00321.XzbMATH Open0498.62079OpenAlexW3005607271MaRDI QIDQ3963908FDOQ3963908
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Newton-type methods (49M15)
Cites Work
- The Lindeberg-Levy Theorem for Martingales
- Asymptotic Properties of Non-Linear Least Squares Estimators
- On asymptotic tests of composite hypotheses in nonstandard conditions
- Autoregressive series with random parameters
- Multiple autoregressive models with random coefficients
- Stochastic Stability of Short-Run Market Equilibrium Under Variations in Supply
Cited In (21)
- Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
- Limit theorems for bifurcating integer-valued autoregressive processes
- Efficient detection of random coefficients in autoregressive models
- A similarity-based approach to time-varying coefficient non-stationary autoregression
- Locally most powerful test for the random coefficient autoregressive model
- Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
- Coefficient constancy test in a random coefficient autoregressive model
- Asymptotic results for random coefficient bifurcating autoregressive processes
- Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
- Least squares estimation in a simple random coefficient autoregressive model
- Coefficient constancy test in AR-ARCH models
- Bayesian forecasting for AR(1) models with normal coefficients
- A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- Monitoring parameter changes for random coefficient autoregressive models
- Monitoring parameter changes in RCA(\(p\)) models
- The sequential estimation in stochastic regression model with random coefficients
- Estimation in nonstationary random coefficient autoregressive models
- Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
- A higher-order random-parameter process for modeling and porecasting time series
- Norming rates and limit theory for some time-varying coefficient autoregressions
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