Autoregressive series with random parameters

From MaRDI portal
Publication:4115951

DOI10.1080/02331887608801334zbMath0346.62066OpenAlexW2158954231MaRDI QIDQ4115951

Jiří Anděl

Publication date: 1976

Published in: Mathematische Operationsforschung und Statistik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331887608801334




Related Items

Coefficient constancy test in AR-ARCH modelsTHE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. IIEstimation in nonlinear time series modelsSOME DOUBLY STOCHASTIC TIME SERIES MODELSA RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIESRandom autoregressive models: A structured overviewAn introduction to stochastic unit-root processesComments on the presence of serial correlation in the random coefficients of an autoregressive processInference for the random coefficients bifurcating autoregressive model for cell lineage studiesStationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residualsOn first and second order stationarity of random coefficient modelsSimultaneous bootstrap for all three parameters in random coefficient autoregressive modelsUnnamed ItemEstimation in nonlinear random fields models of autoregressive type with random parameters\(L_p\)-functionals for change point detection in random coefficient autoregressive modelsTwo-stage weighted least squares estimation of nonstationary random coefficient autoregressionsLimit theory for random coefficient first-order autoregressive process under martingale difference error sequenceChangepoint Detection in Heteroscedastic Random Coefficient Autoregressive ModelsFilling the gap between Continuous and Discrete Time Dynamics of Autoregressive ProcessesRisk-efficient sequential estimation of multivariate random coefficient autoregressive processThe estimation of multivariate random coefficient autoregressive modelsConditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensionsEfficient detection of random coefficients in autoregressive modelsLeast squares estimation in a simple random coefficient autoregressive modelUnnamed ItemRisk efficient estimation of fully dependent random coefficient autoregressive models of general orderA test for strict stationarity in a random coefficient autoregressive model of order 1BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELSA test of correlation in the random coefficients of an autoregressive processMonitoring parameter changes for random coefficient autoregressive modelsMonitoring parameter changes in RCA(\(p\)) modelsEstimation in nonstationary random coefficient autoregressive modelsUnnamed ItemWeak limits of random coefficient autoregressive processes and their application in ruin theoryUnnamed ItemMonitoring Changes in RCA ModelsTESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTSA NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONSMultiple autoregressive models with random coefficientsRandom coefficient autoregressive processes and the PUCK model with fluctuating potentialStructural Change Monitoring for Random Coefficient Autoregressive Time SeriesSample path properties of an explosive double autoregressive modelAsymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovationsEstimation in Random Coefficient Autoregressive ModelsAsymptotic expansions in sequential estimation for the first-order random coefficient autoregressive model: Regenerative approachTHE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I