THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

DOI10.1111/j.1467-9892.1981.tb00321.xzbMath0498.62079OpenAlexW3005607271MaRDI QIDQ3963908

D. F. Nicholls, Barry G. 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

maximum likelihood estimatesstationaritystrong consistencyrandom coefficient autoregressive models

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)

Related Items (21)

Coefficient constancy test in AR-ARCH models ⋮ A similarity-based approach to time-varying coefficient non-stationary autoregression ⋮ Asymptotic results for random coefficient bifurcating autoregressive processes ⋮ Bayesian forecasting for AR(1) models with normal coefficients ⋮ Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence ⋮ A higher-order random-parameter process for modeling and porecasting time series ⋮ Efficient detection of random coefficients in autoregressive models ⋮ Least squares estimation in a simple random coefficient autoregressive model ⋮ 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 ⋮ A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes ⋮ NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS ⋮ Monitoring parameter changes for random coefficient autoregressive models ⋮ Monitoring parameter changes in RCA(\(p\)) models ⋮ Estimation in nonstationary random coefficient autoregressive models ⋮ Locally most powerful test for the random coefficient autoregressive model ⋮ The sequential estimation in stochastic regression model with random coefficients ⋮ Coefficient constancy test in a random coefficient autoregressive model ⋮ Limit theorems for bifurcating integer-valued autoregressive processes ⋮ Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

Cites Work

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

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