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Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter

JOURNAL ARTICLE published 13 May 2019 in Journal of Applied Mathematics

Authors: Mohammed Benmoumen | Jelloul Allal | Imane Salhi

https://doi.org/10.1155/2019/8479086 Actions

Coefficient constancy test in generalized random coefficient autoregressive model

JOURNAL ARTICLE published June 2013 in Applied Mathematics and Computation

Authors: Zhi-Wen Zhao | De-Hui Wang | Cui-Xin Peng

https://doi.org/10.1016/j.amc.2013.03.135 Actions

Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions

JOURNAL ARTICLE published March 2019 in Journal of Computational and Applied Mathematics

Research funded by National Natural Science Foundation of China (11571138,11671054) | The national social science fund of China (16BTJ020)

Authors: Zhi-Wen Zhao | Yang Li | Cui-Xin Peng | Zhi-Hui Fu

https://doi.org/10.1016/j.cam.2018.08.048 Actions

On the sample variance of explosive random coefficient autoregressive processes

JOURNAL ARTICLE published December 2011 in Applied Mathematics Letters

Authors: Terence Tai-Leung Chong | Wai-Kit Leung

https://doi.org/10.1016/j.aml.2011.05.046 Actions

Estimation for Nonnegative First-Order Autoregressive Processes with an Unknown Location Parameter

JOURNAL ARTICLE published 2012 in Applied Mathematics

Authors: Andrew Bartlett | William McCormick

https://doi.org/10.4236/am.2012.312a294 Actions

A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models

JOURNAL ARTICLE published March 1998 in Advances in Applied Probability

Authors: Andreas Rudolph

https://doi.org/10.1017/s0001867800008107 Actions

A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models

JOURNAL ARTICLE published March 1998 in Advances in Applied Probability

Authors: Andreas Rudolph

https://doi.org/10.1239/aap/1035227994 Actions

Inference problems for random-parameter stochastic processes

JOURNAL ARTICLE published June 1985 in Advances in Applied Probability

Authors: John P. Lehoczky

https://doi.org/10.1017/s0001867800014920 Actions

Inference problems for random-parameter stochastic processes

JOURNAL ARTICLE published June 1985 in Advances in Applied Probability

Authors: John P. Lehoczky

https://doi.org/10.2307/1427136 Actions

Asymptotic theory of inference for a certain class of stochastic processes

JOURNAL ARTICLE published June 1979 in Advances in Applied Probability

Authors: I. V. Basawa

https://doi.org/10.1017/s0001867800032432 Actions

Asymptotic theory of inference for a certain class of stochastic processes

JOURNAL ARTICLE published June 1979 in Advances in Applied Probability

Authors: I. V. Basawa

https://doi.org/10.2307/1426831 Actions

Extremal Behavior of the Generalized Integer-Valued Random Coefficient Autoregressive Process

BOOK CHAPTER published 2013 in Studies in Theoretical and Applied Statistics

Authors: Luísa Canto e Castro | Dulce Gomes | Maria da Graça Temido

https://doi.org/10.1007/978-3-642-34904-1_9 Actions

Three-stage recursive least squares parameter estimation for controlled autoregressive autoregressive systems

JOURNAL ARTICLE published July 2013 in Applied Mathematical Modelling

Authors: Shijun Wang | Rui Ding

https://doi.org/10.1016/j.apm.2013.02.004 Actions

Estimation for random coefficient autoregressive model

JOURNAL ARTICLE published 29 February 2016 in Korean Journal of Applied Statistics

Authors: Ju Sung Kim | Sung Duck Lee | Na Rae Jo | In Suk Ham

https://doi.org/10.5351/kjas.2016.29.1.257 Actions

Volatility and Generalized Autoregressive Conditional Heteroskedastic Processes

BOOK CHAPTER published 2019 in Applied Time Series Analysis

Authors: Terence C. Mills

https://doi.org/10.1016/b978-0-12-813117-6.00010-7 Actions

Maximum-Likelihood Asymptotic Inference for Autoregressive Hilbertian Processes

JOURNAL ARTICLE published March 2015 in Methodology and Computing in Applied Probability

Authors: M. D. Ruiz-Medina | R. M. Espejo

https://doi.org/10.1007/s11009-013-9329-8 Actions

Parameter Estimation and Testing of Statistical Hypotheses for Diffusion-Type Processes

BOOK CHAPTER published 2001 in Stochastic Modelling and Applied Probability

Authors: Robert S. Liptser | Albert N. Shiryaev

https://doi.org/10.1007/978-3-662-10028-8_7 Actions

Parameter estimation for a controlled autoregressive autoregressive moving average system based on a recursive framework

JOURNAL ARTICLE published January 2023 in Applied Mathematical Modelling

Research funded by National Natural Science Foundation of China (61873246,61973036,62006213,62102373,62103389)

Authors: Linwei Li | Jie Zhang | Huanlong Zhang | Xuemei Ren

https://doi.org/10.1016/j.apm.2022.09.001 Actions

A Modified Landweber Iteration for Solving Parameter Estimation Problems

JOURNAL ARTICLE published 1 July 1998 in Applied Mathematics and Optimization

Authors: O. Scherzer

https://doi.org/10.1007/s002459900081 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
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