Geodesic
On a class of estimators in a multivariate RCA(1) model
Kybernetika, Tome 47 (2011) no. 4, pp. 501-518

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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.
Classification : 60F05, 60G10, 60G46, 62M10
Keywords: multivariate RCA models; parameter estimation; asymptotic variance matrix 
@article{KYB_2011__47_4_a0,
     author = {Pr\'a\v{s}kov\'a, Zuzana and Van\v{e}\v{c}ek, Pavel},
     title = {On a class of estimators in a multivariate {RCA(1)} model},
     journal = {Kybernetika},
     pages = {501--518},
     publisher = {mathdoc},
     volume = {47},
     number = {4},
     year = {2011},
     mrnumber = {2884857},
     zbl = {1226.62084},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2011__47_4_a0/}
}
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Prášková, Zuzana; Vaněček, Pavel. On a class of estimators in a multivariate RCA(1) model. Kybernetika, Tome 47 (2011) no. 4, pp. 501-518. http://geodesic.mathdoc.fr/item/KYB_2011__47_4_a0/