On a class of estimators in a multivariate RCA(1) model

Zuzana Prášková; Pavel Vaněček

Kybernetika (2011)

  • Volume: 47, Issue: 4, page 501-518
  • ISSN: 0023-5954

Abstract

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This work deals with a multivariate random coefficient autoregressive model (RCA) of the first order. A class of modified least-squares estimators of the parameters of the model, originally proposed by Schick for univariate first-order RCA models, is studied under more general conditions. Asymptotic behavior of such estimators is explored, and a lower bound for the asymptotic variance matrix of the estimator of the mean of random coefficient is established. Finite sample properties are demonstrated in a small simulation study.

How to cite

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Prášková, Zuzana, and Vaněček, Pavel. "On a class of estimators in a multivariate RCA(1) model." Kybernetika 47.4 (2011): 501-518. <http://eudml.org/doc/197107>.

@article{Prášková2011,
abstract = {This work deals with a multivariate random coefficient autoregressive model (RCA) of the first order. A class of modified least-squares estimators of the parameters of the model, originally proposed by Schick for univariate first-order RCA models, is studied under more general conditions. Asymptotic behavior of such estimators is explored, and a lower bound for the asymptotic variance matrix of the estimator of the mean of random coefficient is established. Finite sample properties are demonstrated in a small simulation study.},
author = {Prášková, Zuzana, Vaněček, Pavel},
journal = {Kybernetika},
keywords = {multivariate RCA models; parameter estimation; asymptotic variance matrix; parameter estimation; asymptotic variance matrix},
language = {eng},
number = {4},
pages = {501-518},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On a class of estimators in a multivariate RCA(1) model},
url = {http://eudml.org/doc/197107},
volume = {47},
year = {2011},
}

TY - JOUR
AU - Prášková, Zuzana
AU - Vaněček, Pavel
TI - On a class of estimators in a multivariate RCA(1) model
JO - Kybernetika
PY - 2011
PB - Institute of Information Theory and Automation AS CR
VL - 47
IS - 4
SP - 501
EP - 518
AB - This work deals with a multivariate random coefficient autoregressive model (RCA) of the first order. A class of modified least-squares estimators of the parameters of the model, originally proposed by Schick for univariate first-order RCA models, is studied under more general conditions. Asymptotic behavior of such estimators is explored, and a lower bound for the asymptotic variance matrix of the estimator of the mean of random coefficient is established. Finite sample properties are demonstrated in a small simulation study.
LA - eng
KW - multivariate RCA models; parameter estimation; asymptotic variance matrix; parameter estimation; asymptotic variance matrix
UR - http://eudml.org/doc/197107
ER -

References

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  16. Vaněček, P., Estimation of Random Coefficient Autoregressive Models, PhD Thesis, Charles University, Prague 2008. (2008) 

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