The local asymptotic normality of a class of generalized random coefficient autoregressive processes

被引：11
|
作者：
Hwang, SY
Basawa, IV
机构：
[1] SOOKMYUNG WOMENS UNIV,SEOUL,SOUTH KOREA
[2] UNIV GEORGIA,DEPT STAT,ATHENS,GA 30602
来源：
STATISTICS & PROBABILITY LETTERS | 1997年 / 34卷 / 02期
关键词：
nonlinear time series; asymptotic inference; random coefficient models; local asymptotic normality;
D O I：
10.1016/S0167-7152(96)00178-2
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 local asymptotic normality for a class of generalized random coefficient autoregressive processes is established. This property implies the asymptotic optimality of the maximum likelihood estimator and the related test statistics. The model includes standard random coefficient autoregressive processes, Markovian bilinear models, and random coefficient exponential autoregressive processes as special cases.
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页码：165 / 170
页数：6
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