The strong consistency of quasi-maximum likelihood estimators for p-order random coefficient autoregressive (RCA) models

DOI10.1007/S13171-021-00269-WMaRDI QIDQ6133735zbMATH OpenOpenAlexFDO

Authors Mohammed Benmoumen, Imane Salhi

Publication date 21 August 2023

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13171-021-00269-w

zbMATH Keywords

Kalman filterstrong consistencymaximum likelihoodRCA models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

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• Parameter estimation for first-order random coefficient autoregressive (RCA) models based on Kalman filter
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• Random coefficient autoregressive models: an introduction
• Some identification and estimation results for regression models with stochastically varying coefficients
• Stochastic processes and filtering theory
• The strong consistency of maximum likelihood estimators for ARMA processes

Cited in

(1)

• Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter

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