The estimation of multivariate random coefficient autoregressive models

DOI10.1016/0047-259X(81)90095-6MaRDI QIDQ1169230zbMATH OpenOpenAlexFDO

Authors D. F. Nicholls, Barry Quinn

Publication date 1981

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(81)90095-6

zbMATH Keywords

asymptotic normalitystrong consistencyergodicstrict stationarityestimation of multivariate random coefficient autoregressive modelstwo stage regression procedure

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10)

Cites work

• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• Autoregressive series with random parameters
• Multiple autoregressive models with random coefficients
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
• Stationarity and invertibility of simple bilinear models
• Stochastic Stability of Short-Run Market Equilibrium Under Variations in Supply
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• The Lindeberg-Levy Theorem for Martingales
• Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics

Cited in

(5)

• A test of correlation in the random coefficients of an autoregressive process
• Multivariate hyper-rotated GARCH-BEKK
• Comments on the presence of serial correlation in the random coefficients of an autoregressive process
• Monitoring parameter changes in RCA(\(p\)) models
• Estimating the generalized autoregression model parameters for unknown noise distribution

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