Estimation of variances in a heteroscedastic RCA(1) model
Kybernetika (2002)
- Volume: 38, Issue: 4, page [405]-424
- ISSN: 0023-5954
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topJanečková, Hana. "Estimation of variances in a heteroscedastic RCA(1) model." Kybernetika 38.4 (2002): [405]-424. <http://eudml.org/doc/33592>.
@article{Janečková2002,
abstract = {The paper concerns with a heteroscedastic random coefficient autoregressive model (RCA) of the form $X_t=b_tX_\{t-1\}+Y_t$. Two different procedures for estimating $\sigma _t^2=EY_t^2, \sigma _b^2=Eb_t^2$ or $\sigma _B^2=E(b_t- Eb_t)^2$, respectively, are described under the special seasonal behaviour of $\sigma _t^2$. For both types of estimators strong consistency and asymptotic normality are proved.},
author = {Janečková, Hana},
journal = {Kybernetika},
keywords = {random coefficient autoregressive model},
language = {eng},
number = {4},
pages = {[405]-424},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Estimation of variances in a heteroscedastic RCA(1) model},
url = {http://eudml.org/doc/33592},
volume = {38},
year = {2002},
}
TY - JOUR
AU - Janečková, Hana
TI - Estimation of variances in a heteroscedastic RCA(1) model
JO - Kybernetika
PY - 2002
PB - Institute of Information Theory and Automation AS CR
VL - 38
IS - 4
SP - [405]
EP - 424
AB - The paper concerns with a heteroscedastic random coefficient autoregressive model (RCA) of the form $X_t=b_tX_{t-1}+Y_t$. Two different procedures for estimating $\sigma _t^2=EY_t^2, \sigma _b^2=Eb_t^2$ or $\sigma _B^2=E(b_t- Eb_t)^2$, respectively, are described under the special seasonal behaviour of $\sigma _t^2$. For both types of estimators strong consistency and asymptotic normality are proved.
LA - eng
KW - random coefficient autoregressive model
UR - http://eudml.org/doc/33592
ER -
References
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