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Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors

JOURNAL ARTICLE published September 2014 in Statistics & Probability Letters

Research funded by Natural Sciences and the Engineering Council of Canada (NSERC) (98832-2011)

Authors: Saber Fallahpour | S. Ejaz Ahmed

https://doi.org/10.1016/j.spl.2014.05.020 Actions

Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models

JOURNAL ARTICLE published 2 October 2023 in Journal of Business & Economic Statistics

Authors: Lajos Horváth | Lorenzo Trapani

https://doi.org/10.1080/07350015.2022.2120485 Actions

A comparison of two least-squared random coefficient autoregressive models: with and without autocorrelated errors

JOURNAL ARTICLE published 1 June 2013 in International Journal of Advanced Statistics and Probability

Authors: Autcha Araveeporn

https://doi.org/10.14419/ijasp.v1i3.1286 Actions

Asymptotic results for random coefficient bifurcating autoregressive processes

JOURNAL ARTICLE published 2 November 2014 in Statistics

Authors: Vassili Blandin

https://doi.org/10.1080/02331888.2013.809718 Actions

THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II

JOURNAL ARTICLE published May 1981 in Journal of Time Series Analysis

Authors: B. G. Quinn | D. F. Nicholls

https://doi.org/10.1111/j.1467-9892.1981.tb00321.x Actions

Introduction

BOOK CHAPTER published 1982 in GLIM 82: Proceedings of the International Conference on Generalised Linear Models

Authors: J. A. Nelder

https://doi.org/10.1007/978-1-4612-5771-4_1 Actions

Two-stage generalized moment method approach for bidimensional random coefficient autoregressive models

JOURNAL ARTICLE published 17 July 2016 in Communications in Statistics - Theory and Methods

Authors: Abdelouahab Bibi

https://doi.org/10.1080/03610926.2014.919401 Actions

Fitting Linear Models

BOOK published 1982 in Lecture Notes in Statistics

Authors: Allen Mclntosh

https://doi.org/10.1007/978-1-4612-5752-3 Actions

Bayesian estimation and unit root tests for Random Coefficient AutoRegressive models

JOURNAL ARTICLE published 24 November 2008 in Model Assisted Statistics and Applications

Authors: Dazhe Wang | Sujit K. Ghosh

https://doi.org/10.3233/mas-2008-3401 Actions

Autoregressive Processes

BOOK CHAPTER published 2022 in Time Series Models

Authors: Manfred Deistler | Wolfgang Scherrer

https://doi.org/10.1007/978-3-031-13213-1_5 Actions

Examples: Gaussian Linear Models

BOOK CHAPTER published 1982 in Fitting Linear Models

Authors: Allen Mclntosh

https://doi.org/10.1007/978-1-4612-5752-3_6 Actions

Stochastic models of air pollutant concentration

JOURNAL ARTICLE published December 1986 in Metrika

Authors: J. Hüsler

https://doi.org/10.1007/bf01894760 Actions

Examples: Generalized Linear Models

BOOK CHAPTER published 1982 in Fitting Linear Models

Authors: Allen Mclntosh

https://doi.org/10.1007/978-1-4612-5752-3_7 Actions

Risk efficient estimation of fully dependent random coefficient autoregressive models of general order

JOURNAL ARTICLE published 2 September 2018 in Communications in Statistics - Theory and Methods

Authors: Bikram Karmakar | Indranil Mukhopadhyay

https://doi.org/10.1080/03610926.2017.1371758 Actions

Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process

JOURNAL ARTICLE published December 2009 in Statistics & Probability Letters

Authors: Daisuke Nagakura

https://doi.org/10.1016/j.spl.2009.09.001 Actions

Limit Theory for Random Coefficient First-Order Autoregressive Process

JOURNAL ARTICLE published 25 May 2010 in Communications in Statistics - Theory and Methods

Authors: Yong Zhang | XiaoYun Yang

https://doi.org/10.1080/03610920902940175 Actions

The Box-Jenkins approach to random coefficient autoregressive modelling

JOURNAL ARTICLE published 1986 in Journal of Applied Probability

Authors: D. F. Nicholls

https://doi.org/10.1017/s0021900200117103 Actions

Testing for Random Coefficient Autoregressive and Stochastic Unit Root Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Daisuke Nagakura

https://doi.org/10.2139/ssrn.3358301 Actions

Preliminaries

BOOK CHAPTER published 1982 in Fitting Linear Models

Authors: Allen Mclntosh

https://doi.org/10.1007/978-1-4612-5752-3_1 Actions

√n‐CONSISTENT ESTIMATION IN A RANDOM COEFFICIENT AUTOREGRESSIVE MODEL

JOURNAL ARTICLE published June 1996 in Australian Journal of Statistics

Authors: Anton Schick

https://doi.org/10.1111/j.1467-842x.1996.tb00671.x Actions
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