The local asymptotic normality of a class of generalized random coefficient autoregressive processes

DOI10.1016/S0167-7152(96)00178-2zbMath0899.62017MaRDI QIDQ1380643

Sun Young Hwang, Ishwar V. Basawa

Publication date: 8 March 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

local asymptotic normalityrandom coefficient modelsnonlinear time seriesasymptotic inference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (9)

Variable selection in generalized random coefficient autoregressive models ⋮ Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model ⋮ Random autoregressive models: A structured overview ⋮ Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors ⋮ Coefficient constancy test in generalized random coefficient autoregressive model ⋮ Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors ⋮ Test for parameter changes in generalized random coefficient autoregressive model

Cites Work

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• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• The Stability of Random Coefficient Autoregressive Models
• A characterization of limiting distributions of regular estimates
• Contiguity of Probability Measures

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