PARAMETER-ESTIMATION IN A REGRESSION-MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS

被引：10

作者：

HWANG, SY ^{[1
]}

BASAWA, IV ^{[1
]}

机构：

[1] UNIV GEORGIA,DEPT STAT,ATHENS,GA 30602

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1993年 / 36卷 / 01期

关键词：

NONLINEAR TIME SERIES; RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES; M-DEPENDENT PROCESSES; LEAST SQUARES ESTIMATORS; ASYMPTOTIC DISTRIBUTIONS; REGRESSION;

D O I：

10.1016/0378-3758(93)90101-B

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The least squares estimators of the regression and the autoregression parameters are obtained for a regression model with random coefficient autoregressive errors. The limit distribution of the least squares estimators are obtained using a weighted central limit theorem for m-dependent processes. The proof of the weighted central limit theorem for m-dependent processes is also given.

引用

页码：57 / 67

页数：11