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

被引：8
|
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
收藏
页码：57 / 67
页数：11
相关论文
共 20 条
  • [1] PARAMETER-ESTIMATION IN REGRESSION-MODELS WITH ERRORS IN THE VARIABLES AND AUTOCORRELATED DISTURBANCES
    DAGENAIS, MG
    JOURNAL OF ECONOMETRICS, 1994, 64 (1-2) : 145 - 163
  • [2] PARAMETER-ESTIMATION IN REGRESSION-MODELS WITH AUTOCORRELATED ERRORS USING IRREGULAR DATA
    SHIN, DW
    SARKAR, S
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1994, 23 (12) : 3567 - 3580
  • [3] PARAMETER-ESTIMATION IN A STATIONARY AUTOREGRESSIVE PROCESS WITH CORRELATED MULTIPLE OBSERVATIONS
    SETHURAMAN, S
    BASAWA, IV
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1994, 39 (02) : 137 - 154
  • [4] ASYMPTOTIC PROPERTIES OF THE LSE IN A REGRESSION-MODEL WITH LONG-MEMORY STATIONARY ERRORS
    YAJIMA, Y
    ANNALS OF STATISTICS, 1991, 19 (01) : 158 - 177
  • [5] Testing for strict stationarity in a random coefficient autoregressive model
    Trapani, Lorenzo
    ECONOMETRIC REVIEWS, 2021, 40 (03) : 220 - 256
  • [6] RECURSIVE APPROACH TO PARAMETER-ESTIMATION IN REGRESSION AND TIME-SERIES MODELS
    LEDOLTER, J
    COMMUNICATIONS IN STATISTICS PART A-THEORY AND METHODS, 1979, 8 (12): : 1227 - 1245
  • [7] First-order random coefficient autoregressive (RCA(1)) model: Joint Whittle estimation and information
    Shitan, Mahendran
    Thavaneswaran, A.
    Vazifedan, Turaj
    ACTA ET COMMENTATIONES UNIVERSITATIS TARTUENSIS DE MATHEMATICA, 2015, 19 (01): : 3 - 10
  • [8] Least Square Estimation for Multiple Functional Linear Model with Autoregressive Errors
    Wang, Meng
    Shu, Ming-liang
    Zhou, Jian-jun
    Wu, Si-xin
    Chen, Min
    ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2025, 41 (01): : 84 - 98
  • [9] Spline estimation of functional coefficient regression models for time series with correlated errors
    Montoril, Michel H.
    Morettin, Pedro A.
    Chiann, Chang
    STATISTICS & PROBABILITY LETTERS, 2014, 92 : 226 - 231
  • [10] Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
    Zhu, En-wen
    Deng, Zi-wei
    Zhang, Han-jun
    Cao, Jun
    Liu, Xiao-hui
    ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2024, 40 (02): : 320 - 346
12