PARAMETER-ESTIMATION IN A REGRESSION-MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS

被引：8
|
作者：
HWANG, SY [1 ]
BASAWA, IV [1 ]
机构：
[1] UNIV GEORGIA,DEPT STAT,ATHENS,GA 30602
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1993年 / 36卷 / 01期
关键词：
NONLINEAR TIME SERIES; RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES; M-DEPENDENT PROCESSES; LEAST SQUARES ESTIMATORS; ASYMPTOTIC DISTRIBUTIONS; REGRESSION;
D O I：
10.1016/0378-3758(93)90101-B
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The least squares estimators of the regression and the autoregression parameters are obtained for a regression model with random coefficient autoregressive errors. The limit distribution of the least squares estimators are obtained using a weighted central limit theorem for m-dependent processes. The proof of the weighted central limit theorem for m-dependent processes is also given.
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页码：57 / 67
页数：11
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