Risk efficient estimation of fully dependent random coefficient autoregressive models of general order

DOI10.1080/03610926.2017.1371758OpenAlexW2751702212MaRDI QIDQ5154073

Indranil Mukhopadhyay, Bikram Karmakar

Publication date: 1 October 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1371758

zbMATH Keywords

sequential proceduretime series modelrandom coefficient autoregressive modeloracle estimationasymptotic risk efficiency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

Related Items (4)

Unnamed Item ⋮ Risk-efficient sequential estimation of multivariate random coefficient autoregressive process ⋮ Unnamed Item ⋮ Two-stage procedure in a first-order autoregressive process and comparison with a purely sequential procedure

Cites Work

• Unnamed Item
• Random coefficient autoregressive models: an introduction
• On bates of convergence in the central limit theorem for parameter estimation in general autoregressive model
• On the Autoregressive Model with Random Coefficients
• Sequential estimation of the autoregressive parameter in a first order autoregressive process
• Two Methods for Examining the Stability of Regression Coefficients
• Autoregressive series with random parameters
• A Further Note on Stability in a Random Coefficient Model
• Sequential estimation of the autoregressive parameters in ar(p) model
• Stability in a Random Coefficient Model
• On Optimal Adaptive Prediction of Multivariate Autoregression
• On the Asymptotic Theory of Fixed-Width Sequential Confidence Intervals for the Mean

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