1. Rate of convergence for a class of RCA estimators
- Creator:
- Vaněček, Pavel
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- RCA, parameter estimation, and rate of convergence
- Language:
- English
- Description:
- This work deals with Random Coefficient Autoregressive models where the error process is a martingale difference sequence. A class of estimators of unknown parameter is employed. This class was originally proposed by Schick and it covers both least squares estimator and maximum likelihood estimator for instance. Asymptotic behavior of such estimators is explored, especially the rate of convergence to normal distribution is established.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public