Estimation in Random Coefficient Autoregressive Models
Lajos Horvath and
Journal of Time Series Analysis, 2006, vol. 27, issue 1, 61-76
Abstract. 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.
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