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Estimation Problems in Nonstationary Autoregressive Models

OTHER published 17 April 2017 in Time Series Analysis

https://doi.org/10.1002/9781119132165.ch6 Actions

Conditional L1 estimation for random coefficient integer-valued autoregressive processes

JOURNAL ARTICLE published January 2013 in Statistics & Risk Modeling

Authors: Xi Chen | Lihong Wang

https://doi.org/10.1524/strm.2013.1093 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

Minimum distance estimation for random coefficient autoregressive models

JOURNAL ARTICLE published June 1997 in Statistics & Probability Letters

Authors: V. Swaminathan | U.V. Naik-Nimbalkar

https://doi.org/10.1016/s0167-7152(96)00196-4 Actions

The Estimation of Multivariate Models

BOOK CHAPTER published 1982 in Random Coefficient Autoregressive Models: An Introduction

Authors: Des F. Nicholls | Barry G. Quinn

https://doi.org/10.1007/978-1-4684-6273-9_7 Actions

Least Squares Estimation of Scalar Models

BOOK CHAPTER published 1982 in Random Coefficient Autoregressive Models: An Introduction

Authors: Des F. Nicholls | Barry G. Quinn

https://doi.org/10.1007/978-1-4684-6273-9_3 Actions

Maximum Likelihood Estimation of Scalar Models

BOOK CHAPTER published 1982 in Random Coefficient Autoregressive Models: An Introduction

Authors: Des F. Nicholls | Barry G. Quinn

https://doi.org/10.1007/978-1-4684-6273-9_4 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

Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models

JOURNAL ARTICLE published 1 April 1998 in The Annals of Statistics

Authors: Shiqing Ling

https://doi.org/10.1214/aos/1028144857 Actions

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

Random Coefficient Autoregressive Models: An Introduction

BOOK published 1982 in Lecture Notes in Statistics

Authors: Des F. Nicholls | Barry G. Quinn

https://doi.org/10.1007/978-1-4684-6273-9 Actions

Moving averages with random coefficients and random coefficient autoregressive models

JOURNAL ARTICLE published January 1991 in Communications in Statistics. Stochastic Models

Authors: Sidney I. Res nick | Eric Willekens

https://doi.org/10.1080/15326349108807204 Actions

Adaptive estimation in a random coefficient autoregressive model

JOURNAL ARTICLE published 1 June 1996 in The Annals of Statistics

Authors: Hira L. Koul | Anton Schick

https://doi.org/10.1214/aos/1032526954 Actions

Least absolute deviations estimation for nonstationary vector autoregressive time series models with pure unit roots

JOURNAL ARTICLE published 2023 in Statistics and Its Interface

Authors: Yao Zheng | Jianhong Wu | Wai Keung Li | Guodong Li

https://doi.org/10.4310/21-sii721 Actions

Maximum Likelihood Type Estimation for Nearly Nonstationary Autoregressive Time Series

JOURNAL ARTICLE published 1 September 1991 in The Annals of Statistics

Authors: Dennis D. Cox | Isabel Llatas

https://doi.org/10.1214/aos/1176348240 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

√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

Minimum distance estimators for random coefficient autoregressive models

JOURNAL ARTICLE published September 1996 in Statistics & Probability Letters

Authors: Lianfen Qian

https://doi.org/10.1016/0167-7152(95)00180-8 Actions

On adaptive estimation in nonstationary ARMA Models with GARCH errors

JOURNAL ARTICLE published 1 April 2003 in The Annals of Statistics

Authors: Shiqing Ling | Michael McAleer

https://doi.org/10.1214/aos/1051027884 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
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