The strong consistency of quasi-maximum likelihood estimators for \(p\)-order random coefficient autoregressive (RCA) models

DOI10.1007/s13171-021-00269-wOpenAlexW3211993942MaRDI QIDQ6133735

Mohammed Benmoumen, Imane Salhi

Publication date: 21 August 2023

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-021-00269-w

zbMATH Keywords

Kalman filtermaximum likelihoodstrong consistencyRCA models

Mathematics Subject Classification ID

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

Cites Work

• Maximum likelihood estimation of the dynamic shock-error model
• Estimation in nonlinear time series models
• Some identification and estimation results for regression models with stochastically varying coefficients
• Random coefficient autoregressive models: an introduction
• The strong consistency of maximum likelihood estimators for ARMA processes
• Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter
• Stochastic processes and filtering theory
• Analysis of a discrete matrix Riccati equation of linear control and Kalman filtering
• Estimation in nonstationary random coefficient autoregressive models
• Estimation in Random Coefficient Autoregressive Models
• Convergence analysis of parametric identification methods
• On the discrete time matrix Riccati equation of optimal control†
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