Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference

DOI10.1111/anzs.12408MaRDI QIDQ6549269

Chi Yao, Wei Yu, Xue-jun Wang

Publication date: 3 June 2024

Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

simulationasymptotic normalityWald testself-weighted \(M\) estimatorgeneralised random coefficient autoregressive model

Mathematics Subject Classification ID

Parametric inference (62Fxx) Inference from stochastic processes (62Mxx) Nonparametric inference (62Gxx)

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