CWLS and ML estimates in a heteroscedastic RCA(1) model

DOI10.1524/stnd.22.3.245.57064zbMath1057.62071OpenAlexW570209460MaRDI QIDQ4659950

Hana Janečková, Zuzana Prášková

Publication date: 21 March 2005

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.22.3.245.57064

zbMATH Keywords

asymptotic normalityheteroscedasticityrandom coefficientsautoregressionmixingalesNED processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Related Items (5)

Statistical inference in a random coefficient panel model ⋮ Unnamed Item ⋮ Testing for randomness in a random coefficient autoregression model ⋮ Unnamed Item ⋮ Testing for strict stationarity in a random coefficient autoregressive model

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