Estimation in random coefficient autoregressive models

被引：55
作者：
Aue, A
Horváth, L
Steinebach, J
机构：
[1] Univ Cologne, Inst Math, D-50931 Cologne, Germany
[2] Univ Utah, Salt Lake City, UT 84112 USA
来源：
JOURNAL OF TIME SERIES ANALYSIS | 2006年 / 27卷 / 01期
关键词：
random coefficient autoregressive time series; parameter estimation; quasi-maximum likelihood; consistency; asymptotic normality;
D O I：
10.1111/j.1467-9892.2005.00453.x
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We propose the quasi-maximum likelihood method to estimate the parameters of an RCA(1) process, i.e. a random coefficient autoregressive time series of order 1. The strong consistency and the asymptotic normality of the estimators are derived under optimal conditions.
引用
收藏
页码：61 / 76
页数：16
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