Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence

DOI10.1016/j.cam.2010.11.004zbMath1207.62172OpenAlexW2016941329MaRDI QIDQ629519

Yong Zhang, Zhi-Wen Zhao, De-Hui Wang

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.11.004

zbMATH Keywords

asymptotic normalityconditional least squaresrandom coefficient \(AR(1)\) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (7)

Limit behaviors of the estimator of nonparametric regression model based on martingale difference errors ⋮ Stationary statistical experiments and the optimal estimator for a predictable component ⋮ Semiparametric regression estimation for longitudinal data in models with martingale difference error's structure ⋮ Complete consistency for the estimator of nonparametric regression model based on martingale difference errors ⋮ Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence ⋮ Divergent Perpetuities Modulated by Regime Switches ⋮ Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations

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