THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
作者:
D. F. Nicholls,
B. G. Quinn,
期刊:
Journal of Time Series Analysis
(WILEY Available online 1980)
卷期:
Volume 1,
issue 1
页码: 37-46
ISSN:0143-9782
年代: 1980
DOI:10.1111/j.1467-9892.1980.tb00299.x
出版商: Blackwell Publishing Ltd
关键词: random coefficient autoregression;strong consistency;central limit theorem;Monte Carlo experiment
数据来源: WILEY
摘要:
Abstract.This paper is concerned with autoregressive models in which the coefficients are assumed to be not constant but subject to random perturbations so that we are considering a class of random coefficient autoregressive models. By means of a two stage regression procedure estimates of the unknown parameters of these models are obtained. The estimates are shown to be strongly consistent and to satisfy a central limit theorem. A number of Monte Carlo experiments was carried out to illustrate the estimation procedure and their results are reported.
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