The estimation of multivariate random coefficient autoregressive models

D. F. Nicholls; B. G. Quinn

doi:10.1016/0047-259X(81)90095-6

The estimation of multivariate random coefficient autoregressive models

D. F. Nicholls^*, B. G. Quinn

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.

Original language	English
Pages (from-to)	544-555
Number of pages	12
Journal	Journal of Multivariate Analysis
Volume	11
Issue number	4
DOIs	https://doi.org/10.1016/0047-259X(81)90095-6
Publication status	Published - 1981
Externally published	Yes

Keywords

ergodic
martingale
multiple autoregression
random coefficient
strict stationarity

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10.1016/0047-259X(81)90095-6

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title = "The estimation of multivariate random coefficient autoregressive models",

abstract = "Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.",

keywords = "ergodic, martingale, multiple autoregression, random coefficient, strict stationarity",

author = "Nicholls, {D. F.} and Quinn, {B. G.}",

year = "1981",

doi = "10.1016/0047-259X(81)90095-6",

language = "English",

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journal = "Journal of Multivariate Analysis",

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T1 - The estimation of multivariate random coefficient autoregressive models

AU - Nicholls, D. F.

AU - Quinn, B. G.

PY - 1981

Y1 - 1981

N2 - Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.

AB - Using a two stage regression procedure estimates of the unknown parameters of a class of multivariate random coefficient autoregressive models are obtained. The estimates are shown, under fairly general conditions, to be strongly consistent and to have a distribution which converges to that of a normally distributed random vector.

KW - ergodic

KW - martingale

KW - multiple autoregression

KW - random coefficient

KW - strict stationarity

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U2 - 10.1016/0047-259X(81)90095-6

DO - 10.1016/0047-259X(81)90095-6

M3 - Article

AN - SCOPUS:49049148279

SN - 0047-259X

VL - 11

SP - 544

EP - 555

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

IS - 4

ER -

The estimation of multivariate random coefficient autoregressive models

Abstract

Keywords

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