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Estimation of variances in a heteroscedastic RCA(1) model
Kybernetika, Tome 38 (2002) no. 4, pp. 405-424 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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The paper concerns with a heteroscedastic random coefficient autoregressive model (RCA) of the form $X_t=b_tX_{t-1}+Y_t$. Two different procedures for estimating $\sigma _t^2=EY_t^2, \sigma _b^2=Eb_t^2$ or $\sigma _B^2=E(b_t- Eb_t)^2$, respectively, are described under the special seasonal behaviour of $\sigma _t^2$. For both types of estimators strong consistency and asymptotic normality are proved.
The paper concerns with a heteroscedastic random coefficient autoregressive model (RCA) of the form $X_t=b_tX_{t-1}+Y_t$. Two different procedures for estimating $\sigma _t^2=EY_t^2, \sigma _b^2=Eb_t^2$ or $\sigma _B^2=E(b_t- Eb_t)^2$, respectively, are described under the special seasonal behaviour of $\sigma _t^2$. For both types of estimators strong consistency and asymptotic normality are proved.
Classification : 62F10, 62F12, 62M10
Keywords: random coefficient autoregressive model 
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Janečková, Hana. Estimation of variances in a heteroscedastic RCA(1) model. Kybernetika, Tome 38 (2002) no. 4, pp. 405-424. http://geodesic.mathdoc.fr/item/KYB_2002_38_4_a1/

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