Autoregression quantiles and related rank score processes for generalized random coefficient autoregressive processes

Journal of Statistical Planning and Inference ◽

10.1016/s0378-3758(97)00145-6 ◽

1998 ◽

Vol 68 (2) ◽

pp. 271-294 ◽

Author(s):

Michel Harel ◽

Madan L. Puri

Keyword(s):

Random Coefficient ◽

Autoregressive Processes ◽

Random Coefficient Autoregressive

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Parameter estimation for generalized random coefficient autoregressive processes

Journal of Statistical Planning and Inference ◽

10.1016/s0378-3758(97)00147-x ◽

1998 ◽

Vol 68 (2) ◽

pp. 323-337 ◽

Author(s):

S.Y. Hwang ◽

I.V. Basawa

Keyword(s):

Parameter Estimation ◽

Random Coefficient ◽

Autoregressive Processes ◽

Random Coefficient Autoregressive

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Correction to: Random Coefficient Autoregressive Processes: a Markov Chain Analysis of Stationarity and Finiteness of Moments by Paul D. Feigin and Richard L. Tweedie J. Time Series Anal., Vol. 6, No. 1 (1985)

Journal of Time Series Analysis ◽

10.1111/jtsa.12521 ◽

2020 ◽

Vol 41 (6) ◽

pp. 899-900

Author(s):

Paul D. Feigin

Keyword(s):

Time Series ◽

Markov Chain ◽

Random Coefficient ◽

Autoregressive Processes ◽

Markov Chain Analysis ◽

Chain Analysis ◽

Random Coefficient Autoregressive

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Random coefficient autoregressive processes describe Brownian yet non-Gaussian diffusion in heterogeneous systems

New Journal of Physics ◽

10.1088/1367-2630/ab3366 ◽

2019 ◽

Vol 21 (7) ◽

pp. 073056 ◽

Author(s):

Jakub Ślęzak ◽

Krzysztof Burnecki ◽

Ralf Metzler

Keyword(s):

Heterogeneous Systems ◽

Random Coefficient ◽

Autoregressive Processes ◽

Non Gaussian ◽

Random Coefficient Autoregressive

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Weak limits of random coefficient autoregressive processes and their application in ruin theory

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2019.12.001 ◽

2020 ◽

Vol 91 ◽

pp. 1-11

Author(s):

Y. Dong ◽

J. Spielmann

Keyword(s):

Random Coefficient ◽

Autoregressive Processes ◽

Ruin Theory ◽

Weak Limits ◽

Random Coefficient Autoregressive

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Random coefficient autoregressive processes and the PUCK model with fluctuating potential

Journal of Statistical Mechanics Theory and Experiment ◽

10.1088/1742-5468/aaf109 ◽

2019 ◽

Vol 2019 (1) ◽

pp. 013403

Author(s):

Arthur Matsuo Yamashita Rios de Sousa ◽

Hideki Takayasu ◽

Misako Takayasu

Keyword(s):

Random Coefficient ◽

Autoregressive Processes ◽

Random Coefficient Autoregressive

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The local asymptotic normality of a class of generalized random coefficient autoregressive processes

Statistics & Probability Letters ◽

10.1016/s0167-7152(96)00178-2 ◽

1997 ◽

Vol 34 (2) ◽

pp. 165-170 ◽

Author(s):

S.Y. Hwang ◽

I.V. Basawa

Keyword(s):

Asymptotic Normality ◽

Random Coefficient ◽

Local Asymptotic Normality ◽

Autoregressive Processes ◽

Random Coefficient Autoregressive

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On the sample variance of explosive random coefficient autoregressive processes

Applied Mathematics Letters ◽

10.1016/j.aml.2011.05.046 ◽

2011 ◽

Vol 24 (12) ◽

pp. 2077-2081

Author(s):

Terence Tai-Leung Chong ◽

Wai-Kit Leung

Keyword(s):

Random Coefficient ◽

Sample Variance ◽

Autoregressive Processes ◽

Random Coefficient Autoregressive

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A test for strict stationarity in a random coefficient autoregressive model of order 1

Statistics & Probability Letters ◽

10.1016/j.spl.2021.109164 ◽

2021 ◽

pp. 109164

Author(s):

Lorenzo Trapani

Keyword(s):

Autoregressive Model ◽

Random Coefficient ◽

Strict Stationarity ◽

Random Coefficient Autoregressive

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Variable selection in generalized random coefficient autoregressive models

Journal of Inequalities and Applications ◽

10.1186/s13660-018-1680-4 ◽

2018 ◽

Vol 2018 (1) ◽

Author(s):

Zhiwen Zhao ◽

Yangping Liu ◽

Cuixin Peng

Keyword(s):

Variable Selection ◽

Random Coefficient ◽

Autoregressive Models ◽

Random Coefficient Autoregressive

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Limit theory for random coefficient autoregressive process under possibly infinite variance error sequence

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2014.904354 ◽

2016 ◽

Vol 45 (12) ◽

pp. 3562-3576

Author(s):

Zhiyong Zhou ◽

Zhengyan Lin

Keyword(s):

Autoregressive Process ◽

Random Coefficient ◽

Infinite Variance ◽

Limit Theory ◽

Error Sequence ◽

Random Coefficient Autoregressive

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