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Estimation in Random Coefficient Autoregressive Models
Author(s) -
Aue Alexander,
Horváth Lajos,
Steinebach Josef
Publication year - 2006
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2005.00453.x
Subject(s) - mathematics , autoregressive model , estimator , asymptotic distribution , strong consistency , consistency (knowledge bases) , star model , statistics , series (stratigraphy) , autoregressive integrated moving average , setar , econometrics , time series , paleontology , geometry , biology
. We propose the quasi‐maximum likelihood method to estimate the parameters of an RCA(1) process, i.e. a random coefficient autoregressive time series of order 1. The strong consistency and the asymptotic normality of the estimators are derived under optimal conditions.