Estimation in Random Coefficient Autoregressive Models

DOI10.1111/j.1467-9892.2005.00453.xzbMath1112.62084OpenAlexW2003507053MaRDI QIDQ3440741

Lajos Horváth, Alexander Aue, Josef G. Steinebach

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00453.x

zbMATH Keywords

estimationconsistencyasymptotic normalitytime seriesquasi-maximum likelihoodrandom coefficient autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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Cites Work

• Random coefficient autoregressive models: an introduction
• Autoregressive series with random parameters
• Probability
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