On residual analysis for time series models
Jiří Anděl (1997)
Kybernetika
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Jiří Anděl (1997)
Kybernetika
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Hana Janečková (2002)
Kybernetika
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The paper concerns with a heteroscedastic random coefficient autoregressive model (RCA) of the form . Two different procedures for estimating or , respectively, are described under the special seasonal behaviour of . For both types of estimators strong consistency and asymptotic normality are proved.
Hu, Hongchang (2010)
Mathematical Problems in Engineering
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Martins, C.M. (1999)
Portugaliae Mathematica
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