Estimation in random coefficient autoregressive models

被引：54

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

页码：61 / 76

页数：16

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