Random coefficient autoregressive models: an introduction
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(only showing first 100 items - show all)- RCA models with GARCH innovations
- On some properties of autoregressive conditional Poisson (ACP) models
- Distribution of recirculating lymphocytes: A stochastic model foundation
- Inference for the random coefficients bifurcating autoregressive model for cell lineage studies
- A nonlinear time series model and estimation of missing observations
- Coefficient constancy test in a random coefficient autoregressive model
- Prediction via estimating functions
- Asymptotic expansions in sequential estimation for the first-order random coefficient autoregressive model: Regenerative approach
- Prediction in random coefficient regression
- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
- Random coefficient regressions: parametric goodness-of-fit tests.
- Efficient detection of random coefficients in autoregressive models
- M-estimates of autoregression with random coefficients
- The Fisher effect in the presence of time-varying coefficients
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- Testing for randomness in a random coefficient autoregression model
- Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
- Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
- A test of correlation in the random coefficients of an autoregressive process
- Adaptive estimation in a random coefficient autoregressive model
- On inference for threshold autoregressive models.
- On weighted U-statistics for stationary processes.
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
- A bivariate uniform autoregressive process
- On the approximation of continuous time threshold ARMA processes
- A new non-linear AR(1) time series model having approximate beta marginals
- Estimation of weak ARMA models with regime changes
- Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables
- Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
- Resolvent estimators for functional autoregressive processes with random coefficients
- Flexible binomial AR(1) processes using copulas
- Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors
- A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes
- Time series modeling on dynamic networks
- Locally most powerful test for the random coefficient autoregressive model
- Weak limits of random coefficient autoregressive processes and their application in ruin theory
- Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model
- The least-squares criteria of the random coefficient dynamic regression model
- Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter
- Limit theorems for bifurcating integer-valued autoregressive processes
- Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
- Quadratic random coefficient autoregression with linear-in-parameters volatility
- RCA models with correlated errors
- Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
- Covariance operator estimation of a functional autoregressive process with random coefficients
- Conditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensions
- Least squares estimation in a simple random coefficient autoregressive model
- Fuzzy coefficient volatility (FCV) models with applications
- Random coefficient volatility models
- On linear processes with dependent innovations
- Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
- Least squares estimation for critical random coefficient first-order autoregressive processes
- Monitoring parameter changes for random coefficient autoregressive models
- Forecasting volatility
- Comments on the presence of serial correlation in the random coefficients of an autoregressive process
- Pension Funding with Moving Average Rates of Return
- Monitoring changes in RCA models
- A broad class of partially specified autoregressions on multi-casting data
- A similarity-based approach to time-varying coefficient non-stationary autoregression
- scientific article; zbMATH DE number 6703664 (Why is no real title available?)
- Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
- Estimation in nonstationary random coefficient autoregressive models
- On a class of estimators in a multivariate RCA(1) model
- Estimation of variances in a heteroscedastic RCA(1) model.
- On periodic time-varying bilinear processes: structure and asymptotic inference
- scientific article; zbMATH DE number 4205504 (Why is no real title available?)
- On some nonstationary, nonlinear random processes and their stationary approximations
- Estimation in Random Coefficient Autoregressive Models
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
- Estimation of Parameters in the NLAR(p) Model
- Limit theory for random coefficient first-order autoregressive process
- A Bivariate Beta-Gamma Autoregressive Process (BVBGAR(1))
- NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
- SOME DOUBLY STOCHASTIC TIME SERIES MODELS
- ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL
- STATIONARITY OF THE SOLUTION OF Xt= AtXt-1+ εtAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
- Simultaneous bootstrap for all three parameters in random coefficient autoregressive models
- Testing homogeneity over time of a parameter of a markov sequence
- Random coefficient autoregression, regime switching and long memory
- RCA model with quadratic GARCH innovation distribution
- Maximum quasi‐likelihood estimation for the near(2) model
- Large sample properties of parameter least squares estimates for time‐varying arma models
- The split-BREAK model
- Mellin's transform and application to some time series models
- Estimating function approach for CHARN models
- Limit theorems for iterated random functions
- The Cusum Test for Parameter Change in Time Series Models
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
- Multivariate arma models with generalized autoregressive linear innovation
- Random coefficient autoregressive processes and the PUCK model with fluctuating potential
- A comparison of parameter estimation methods for the first-order of random coefficient autoregressive model
- Comparison of efficiency of estimates by the methods of least absolute deviations and least squares in the autoregression model with random coefficient
- Random autoregressive models: a structured overview
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
- Risk efficient estimation of fully dependent random coefficient autoregressive models of general order
- Norming rates and limit theory for some time-varying coefficient autoregressions
- Risk-efficient sequential estimation of multivariate random coefficient autoregressive process
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