On a class of estimators in a multivariate RCA(1) model

Title:

On a class of estimators in a multivariate RCA(1) model

Creator:

Prášková, Zuzana and Vaněček, Pavel

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:d4502a8d-c092-42c3-bf8a-681fd27574b0
uuid:d4502a8d-c092-42c3-bf8a-681fd27574b0

Subject:

multivariate RCA models, parameter estimation, and asymptotic variance matrix

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

This work deals with a multivariate random coefficient autoregressive model (RCA) of the first order. A class of modified least-squares estimators of the parameters of the model, originally proposed by Schick for univariate first-order RCA models, is studied under more general conditions. Asymptotic behavior of such estimators is explored, and a lower bound for the asymptotic variance matrix of the estimator of the mean of random coefficient is established. Finite sample properties are demonstrated in a small simulation study.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[501]-518

Source:

Kybernetika | 2011 Volume:47 | Number:4

Harvested from:

CDK

Metadata only:

false