Aue, Alexander; Horváth, Lajos; Steinebach, Josef - In: Journal of Time Series Analysis 27 (2006) 1, pp. 61-76
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. Copyright 2006 Blackwell...