Test for parameter changes in generalized random coefficient autoregressive model

DOI10.1186/1029-242X-2014-309zbMath1332.62353OpenAlexW2107715285WikidataQ59323305 ScholiaQ59323305MaRDI QIDQ257852

Zhi-Wen Zhao, Cui-Xin Peng, De-Hui Wang

Publication date: 17 March 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/1029-242x-2014-309

zbMATH Keywords

asymptotic varianceconditional least-squares estimationgeneralized random coefficient autoregressive modelmonitoring parameter changes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

Random autoregressive models: A structured overview

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