Estimation in Random Coefficient Autoregressive Models

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

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Year of publication:	2006
Authors:	Aue, Alexander ; Horváth, Lajos ; Steinebach, Josef
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Autokorrelation \| Autocorrelation

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014060141