The Strong Consistency of Quasi-Maximum Likelihood Estimators for p-order Random Coefficient Autoregressive (RCA) Models

Mohammed Benmoumen () and Imane Salhi ()
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Mohammed Benmoumen: University Mohammed Premier
Imane Salhi: University Mohammed Premier

Sankhya A: The Indian Journal of Statistics, 2023, vol. 85, issue 1, No 24, 617-632

Abstract: Abstract In this paper, we investigate the strong consistency of the quasi-maximum likelihood estimators derived through the Kalman filter for stationary random coefficient autoregressive (RCA) models. The estimators in question are the subject of Benmoumen et al. (2019) work. The suggested proof exploits both the ergodic theorem and Kalman filter asymptotic proprieties.

Keywords: RCA models; Maximum likelihood; Kalman filter; Strong consistency.; Primary 62M10; Secondary 62F12 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s13171-021-00269-w

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