On an autoregressive model with time-dependent coefficients

zbMath0613.62111MaRDI QIDQ1819515

Gea Hwa Kwoun, Yoshihiro Yajima

Publication date: 1986

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptotic propertiestime series analysisnon-stationarityleast squares estimatorsstrongly consistentasymptotically normalsimulation studiesstate-dependent modelsfirst-order autoregressive processestime- dependent coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99)

Related Items (5)

Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients ⋮ The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses ⋮ QML estimators in linear regression models with functional coefficient autoregressive processes ⋮ The exact quasi-likelihood of time-dependent ARMA models

Cites Work

• On conditional least squares estimation for stochastic processes
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• THE STATISTICAL ANALYSIS OF PERTURBED LIMIT CYCLE PROCESSES USING NONLINEAR TIME SERIES MODELS
• Martingale Central Limit Theorems
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