Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data-Reference-Cited by-同舟云学术

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Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data

Published:2017-01 Issue: Volume:153 Page:121-135
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Leipus Remigijus,Philippe Anne,Pilipauskaitė Vytautė,Surgailis Donatas

Funder

Research Council of Lithuania

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference21 articles.

1. From short to long memory: Aggregation and estimation;Beran;Comput. Statist. Data Anal.,2010

2. Convergence of Probability Measures;Billingsley,1968

3. Distribution function inequalities for martingales;Burkholder;Annals of Probability,1973

4. Time series aggregation, disaggregation and long memory;Celov;Lith. Math. J.,2007

5. Asymptotic normality of the mixture density estimator in a disaggregation scheme;Celov;J. Nonparametr. Stat.,2010

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance;Advances in Applied Probability;2020-03

2. Estimating Long Memory in Panel Random‐Coefficient AR(1) Data;Journal of Time Series Analysis;2020-01-30

3. Sample covariances of random-coefficient AR(1) panel model;Electronic Journal of Statistics;2019-01-01

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