| Title:
|
On a class of estimators in a multivariate RCA(1) model (English) |
| Author:
|
Prášková, Zuzana |
| Author:
|
Vaněček, Pavel |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
47 |
| Issue:
|
4 |
| Year:
|
2011 |
| Pages:
|
501-518 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
multivariate RCA models |
| Keyword:
|
parameter estimation |
| Keyword:
|
asymptotic variance matrix |
| MSC:
|
60F05 |
| MSC:
|
60G10 |
| MSC:
|
60G46 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 1226.62084 |
| idMR:
|
MR2884857 |
| . |
| Date available:
|
2011-09-23T11:14:28Z |
| Last updated:
|
2013-09-22 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/141654 |
| . |
| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| . |
