The local asymptotic normality of a class of generalized random coefficient autoregressive processes

S. Y. Hwang and I. V. Basawa

Statistics & Probability Letters, 1997, vol. 34, issue 2, 165-170

Abstract: The local asymptotic normality for a class of generalized random coefficient autoregressive processes is established. This property implies the asymptotic optimality of the maximum likelihood estimator and the related test statistics. The model includes standard random coefficient autoregressive processes, Markovian bilinear models, and random coefficient exponential autoregressive processes as special cases.

Keywords: Nonlinear time series Asymptotic inference; Random coefficient models Local asymptotic normality (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (5)

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