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Random Coefficient Autoregressive Models: An Introduction: An Introduction

Name: Random Coefficient Autoregressive Models: An Introduction: An Introduction
Brand: Springer
SKU: 9780387907666
Price: 6384.00 INR
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ISBN: 9780387907666

RANDOM COEFFICIENT AUTOREGRESS

Contributor(s): Nicholls, D. F. Author , Quinn, B. G. Author , Nicholls, Des F. Author Format: Paperback

Paperback · ISBN 9780387907666

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Key Specifications

ISBN	9780387907666
Subtitle	RANDOM COEFFICIENT AUTOREGRESS
Publisher	Springer
Publication date	October 1982
Language	English
MRP	£44.99 GBP
Page count	164
Item weight	53 g

In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interest. We are grateful to many colleagues in both Departments of Statistics at the Australian National University and in the Department of Mathematics at the University of Wo110ngong. Their constructive criticism has aided in the presentation of this monograph. We would also like to thank Dr M. A. Ward of the Department of Mathematics, Australian National University whose program produced, after minor modifications, the "three dimensional" graphs of the log-likelihood functions which appear on pages 83-86. Finally we would like to thank J. Radley, H. Patrikka and D. Hewson for their contributions towards the typing of a difficult manuscript. IV CONTENTS CHAPTER 1 INTRODUCTION 1. 1 Introduction 1 Appendix 1. 1 11 Appendix 1. 2 14 CHAPTER 2 STATIONARITY AND STABILITY 15 2. 1 Introduction 15 2. 2 Singly-Infinite Stationarity 16 2. 3 Doubly-Infinite Stationarity 19 2. 4 The Case of a Unit Eigenvalue 31 2. 5 Stability of RCA Models 33 2. 6 Strict Stationarity 37 Appendix 2. 1 38 CHAPTER 3 LEAST SQUARES ESTIMATION OF SCALAR MODELS 40 3.

Random Coefficient Autoregressive Models: An Introduction: An Introduction

Key Specifications

Nicholls, D. F. Author

Quinn, B. G. Author

Nicholls, Des F. Author

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