Name
Abstract | ||
|---|---|---|
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. |
Year | Venue | Keywords |
|---|---|---|
2011 | KYBERNETIKA | multivariate RCA models,parameter estimation,asymptotic variance matrix |
Field | DocType | Volume |
Multivariate analysis of variance,Econometrics,Multivariate statistics,Estimation theory,Statistics,Mathematics,Estimator | Journal | 47 |
Issue | ISSN | Citations |
4 | 0023-5954 | 0 |
PageRank | References | Authors |
0.34 | 0 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Zuzana Praskova | 1 | 0 | 2.70 |
| Pavel Vanecek | 2 | 0 | 0.34 |