First-order random coefficient autoregressive (RCA(1)) model: Joint Whittle estimation and information

DOI10.12697/ACUTM.2015.19.01zbMath1343.62073MaRDI QIDQ2814796

A. Thavaneswaran, Turaj Vazifedan, Mahendran Shitan

Publication date: 23 June 2016

Published in: Acta et Commentationes Universitatis Tartuensis de Mathematica (Search for Journal in Brave)

zbMATH Keywords

nonlinear time seriesRCA modelWhittle's estimation and information

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Random autoregressive models: A structured overview ⋮ Estimation in nonlinear random fields models of autoregressive type with random parameters

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