Risk efficient estimation of fully dependent random coefficient autoregressive models of general order

DOI10.1080/03610926.2017.1371758MaRDI QIDQ5154073zbMATH OpenOpenAlexFDO

Authors Bikram Karmakar, Indranil Mukhopadhyay

Publication date 1 October 2021

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2017.1371758

zbMATH Keywords

sequential procedurerandom coefficient autoregressive modeltime series modeloracle estimationasymptotic risk efficiency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

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Cites work

• A Further Note on Stability in a Random Coefficient Model
• Autoregressive series with random parameters
• On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model
• On optimal adaptive prediction of multivariate autoregression
• On the Asymptotic Theory of Fixed-Width Sequential Confidence Intervals for the Mean
• On the Autoregressive Model with Random Coefficients
• Random coefficient autoregressive models: an introduction
• Sequential estimation of the autoregressive parameter in a first order autoregressive process
• Sequential estimation of the autoregressive parameters in ar(p) model
• Sequential estimation of the autoregressive parameters in general vector autoregressive model
• Stability in a Random Coefficient Model
• Two Methods for Examining the Stability of Regression Coefficients

Cited in

(6)

• Sequential estimation of the mean in a random coefficient autoregressive model with beta marginals
• Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure
• scientific article; zbMATH DE number 7708090 (Why is no real title available?)
• scientific article; zbMATH DE number 7708021 (Why is no real title available?)
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
• Risk-efficient sequential estimation of multivariate random coefficient autoregressive process

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