Geodesic
Estimation of variances in a heteroscedastic RCA(1) model
Kybernetika, Tome 38 (2002) no. 4, p. [405].

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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.
Classification : 62F10, 62F12, 62M10
Keywords: random coefficient autoregressive model 
@article{KYB_2002__38_4_a1,
     author = {Jane\v{c}kov\'a, Hana},
     title = {Estimation of variances in a heteroscedastic {RCA(1)} model},
     journal = {Kybernetika},
     pages = {[405]},
     publisher = {mathdoc},
     volume = {38},
     number = {4},
     year = {2002},
     mrnumber = {1937137},
     zbl = {1264.62069},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2002__38_4_a1/}
}
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Janečková, Hana. Estimation of variances in a heteroscedastic RCA(1) model. Kybernetika, Tome 38 (2002) no. 4, p. [405]. http://geodesic.mathdoc.fr/item/KYB_2002__38_4_a1/