Geodesic
Rate of convergence for a class of RCA estimators
Kybernetika, Tome 42 (2006) no. 6, pp. 699-709.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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.
Classification : 60F05, 60G10, 62F10, 62M09, 62M10, 91B84
Keywords: RCA; parameter estimation; rate of convergence 
@article{KYB_2006__42_6_a4,
     author = {Van\v{e}\v{c}ek, Pavel},
     title = {Rate of convergence for a class of {RCA} estimators},
     journal = {Kybernetika},
     pages = {699--709},
     publisher = {mathdoc},
     volume = {42},
     number = {6},
     year = {2006},
     mrnumber = {2296509},
     zbl = {1249.60034},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2006__42_6_a4/}
}
TY  - JOUR
AU  - Vaněček, Pavel
TI  - Rate of convergence for a class of RCA estimators
JO  - Kybernetika
PY  - 2006
SP  - 699
EP  - 709
VL  - 42
IS  - 6
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/KYB_2006__42_6_a4/
LA  - en
ID  - KYB_2006__42_6_a4
ER  - 
%0 Journal Article
%A Vaněček, Pavel
%T Rate of convergence for a class of RCA estimators
%J Kybernetika
%D 2006
%P 699-709
%V 42
%N 6
%I mathdoc
%U http://geodesic.mathdoc.fr/item/KYB_2006__42_6_a4/
%G en
%F KYB_2006__42_6_a4
Vaněček, Pavel. Rate of convergence for a class of RCA estimators. Kybernetika, Tome 42 (2006) no. 6, pp. 699-709. http://geodesic.mathdoc.fr/item/KYB_2006__42_6_a4/