A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model

被引：0

作者：

Zhao, Zhi-Wen ^{[1
]}

Wang, De-Hui ^{[2
]}

Peng, Cui-Xin ^{[3
]}

Bi, Li ^{[1
]}

机构：

[1] Jilin Normal Univ, Coll Math, Siping 136000, Peoples R China

[2] Jilin Univ, Coll Math, Changchun, Peoples R China

[3] Jilin Normal Univ, Publ Foreign Languages Dept, Siping, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Asymptotic distribution; explosive random coefficient autoregressive model; least squares estimation; Primary; 62M10; Secondary; 91B62;

D O I：

10.1080/03610926.2015.1032422

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：

This note is concerned with the limiting properties of the least squares estimation for the random coefficient autoregressive model. In contrast with existing results, ours is applicable to a wide range of models under more general assumptions.

引用

页码：2002 / 2006

页数：5

共 8 条

[1] Estimation in nonstationary random coefficient autoregressive models
Berkes, Istvan
Horvath, Lajos
Ling, Shiqing
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2009, 30 (04) : 395 - 416
[2] MARTINGALE CENTRAL LIMIT THEOREMS
BROWN, BM
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1971, 42 (01): : 59 - &
[3] Explosive random-coefficient AR(1) processes and related asymptotics for least-squares estimation
Hwang, SY
Basawa, IV
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2005, 26 (06) : 807 - 824
[4] Parameter estimation for generalized random coefficient autoregressive processes
Hwang, SY
Basawa, IV
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1998, 68 (02) : 323 - 337
[5] Nicholls D.F., 1982, Random Coefficient Autoregressive Models: An Introduction
[6] Peng L., 2013, UNIFIED EMPIRI UNPUB
[7] Pourahmadi M., 1986, J TIME SET ANAL, V7, P121
[8] QUINN B.G., 1982, Journal of Time Series Analysi, V3, P249

← 1 →