THE ESTIMATION OF MULTIVARIATE RANDOM COEFFICIENT AUTOREGRESSIVE MODELS

被引：8
|
作者：
NICHOLLS, DF
QUINN, BG
机构：
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 1981年 / 11卷 / 04期
关键词：
D O I：
10.1016/0047-259X(81)90095-6
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：
引用
收藏
页码：544 / 555
页数：12
相关论文
共 50 条
  • [1] Estimation in random coefficient autoregressive models
    Aue, A
    Horváth, L
    Steinebach, J
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2006, 27 (01) : 61 - 76
  • [2] Estimation in nonstationary random coefficient autoregressive models
    Berkes, Istvan
    Horvath, Lajos
    Ling, Shiqing
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2009, 30 (04) : 395 - 416
  • [3] UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
    Hill, Jonathan
    Peng, Liang
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2014, 35 (03) : 282 - 297
  • [4] Minimum distance estimation for random coefficient autoregressive models
    Swaminathan, V
    NaikNimbalkar, UV
    [J]. STATISTICS & PROBABILITY LETTERS, 1997, 34 (04) : 313 - 322
  • [5] Risk-efficient sequential estimation of multivariate random coefficient autoregressive process
    Karmakar, Bikram
    Mukhopadhyay, Indranil
    [J]. SEQUENTIAL ANALYSIS-DESIGN METHODS AND APPLICATIONS, 2019, 38 (01): : 26 - 45
  • [6] Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood
    Chen, Jin
    Wang, Dehui
    Li, Cong
    Huang, Jingwen
    [J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2023, 52 (02) : 291 - 308
  • [7] Estimation for random coefficient autoregressive model
    Kim, Ju Sung
    Lee, Sung Duck
    Jo, Na Rae
    Ham, In Suk
    [J]. KOREAN JOURNAL OF APPLIED STATISTICS, 2016, 29 (01) : 257 - 266
  • [8] THE STABILITY OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
    QUINN, BG
    NICHOLLS, DF
    [J]. INTERNATIONAL ECONOMIC REVIEW, 1981, 22 (03) : 741 - 744
  • [9] BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
    Fink, Thorsten
    Kreiss, Jens-Peter
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2013, 34 (06) : 646 - 667
  • [10] Testing Coefficient Randomness in Multivariate Random Coefficient Autoregressive Models Based on Locally Most Powerful Test
    Bi, Li
    Wang, Deqi
    Cheng, Libo
    Qi, Dequan
    [J]. MATHEMATICS, 2024, 12 (16)
12345