Random coefficient autoregressive models: an introduction
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(only showing first 100 items - show all)- Norming rates and limit theory for some time-varying coefficient autoregressions
- Recent developments in volatility modeling and applications
- The Cusum Test for Parameter Change in Time Series Models
- Variable selection in generalized random coefficient autoregressive models
- Weighted least squares estimation in a binary random coefficient panel model with infinite variance
- L1 penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors
- On linear processes with dependent innovations
- The least-squares criteria of the random coefficient dynamic regression model
- Time series modeling on dynamic networks
- ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL
- Risk efficient estimation of fully dependent random coefficient autoregressive models of general order
- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
- Simultaneous bootstrap for all three parameters in random coefficient autoregressive models
- Bootstrap for random coefficient autoregressive models
- Maximum likelihood estimation and unit root test for first order Random Coefficient AutoRegressive mode
- A test of correlation in the random coefficients of an autoregressive process
- Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality
- Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations
- Limit theory for random coefficient first-order autoregressive process
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
- Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
- Statistical inference for single-index-driven varying-coefficient time series model with explanatory variables
- Pension Funding with Moving Average Rates of Return
- Limit theorems for iterated random functions
- On inference for threshold autoregressive models.
- Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity
- M-estimates of autoregression with random coefficients
- Testing homogeneity over time of a parameter of a markov sequence
- Estimation of weak ARMA models with regime changes
- Efficient detection of random coefficients in autoregressive models
- Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model
- Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter
- Limit theorems for bifurcating integer-valued autoregressive processes
- A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
- A first order continuous time <scp>VAR</scp> with random coefficients
- A bivariate uniform autoregressive process
- Estimation of variances in a heteroscedastic RCA(1) model.
- Flexible binomial AR(1) processes using copulas
- Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors
- Distribution of recirculating lymphocytes: A stochastic model foundation
- Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
- A similarity-based approach to time-varying coefficient non-stationary autoregression
- Random coefficient volatility models
- Locally most powerful test for the random coefficient autoregressive model
- Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
- Large sample properties of parameter least squares estimates for time‐varying arma models
- Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
- Coefficient constancy test in a random coefficient autoregressive model
- On the approximation of continuous time threshold ARMA processes
- scientific article; zbMATH DE number 958377 (Why is no real title available?)
- Prediction in random coefficient regression
- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Rate of convergence for a class of RCA estimators
- Quadratic random coefficient autoregression with linear-in-parameters volatility
- Zero truncated Poisson integer-valued AR\((1)\) model
- Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
- A broad class of partially specified autoregressions on multi-casting data
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
- A new INAR model based on Poisson-BE2 innovations
- Least squares estimation in a simple random coefficient autoregressive model
- Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
- RCA model with quadratic GARCH innovation distribution
- On a class of estimators in a multivariate RCA(1) model
- Estimating function approach for CHARN models
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Variable selection for an improved INAR(1) model with explanatory variables using 2SPCLS
- A new bivariate autoregressive model driven by logistic regression
- Random coefficient regressions: parametric goodness-of-fit tests.
- Random coefficient autoregressive processes and the PUCK model with fluctuating potential
- Monitoring changes in RCA models
- Testing for random coefficient autoregressive and stochastic unit root models
- Fuzzy coefficient volatility (FCV) models with applications
- Doubly stochastic models with GARCH innovations
- Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood
- Conditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensions
- Covariance operator estimation of a functional autoregressive process with random coefficients
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- Asymptotic theory for curve-crossing analysis
- On first and second order stationarity of random coefficient models
- Testing for randomness in a random coefficient autoregression model
- Comments on the presence of serial correlation in the random coefficients of an autoregressive process
- The Fisher effect in the presence of time-varying coefficients
- Adaptive estimation in a random coefficient autoregressive model
- RCA models with GARCH innovations
- A comparison of parameter estimation methods for the first-order of random coefficient autoregressive model
- The split-BREAK model
- Mellin's transform and application to some time series models
- Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model
- A Rademacher-Menchov approach for random coefficient bifurcating autoregressive processes
- On periodic time-varying bilinear processes: structure and asymptotic inference
- NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- A nonlinear time series model and estimation of missing observations
- Asymptotic expansions in sequential estimation for the first-order random coefficient autoregressive model: Regenerative approach
- Estimation in covariate-adjusted regression
- On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- Prediction via estimating functions
- Estimation of Parameters in the NLAR(p) Model
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