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NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL

  • Published:2013-12-21 Issue:3 Volume:35 Page:189-202
  • ISSN:0143-9782
  • Container-title:Journal of Time Series Analysis
  • language:en
  • Short-container-title:J. Time Ser. Anal.

Author:

Chen Min1,Li Dong2,Ling Shiqing3

Affiliation:

1. Academy of Mathematics and Systems Science; Chinese Academy of Sciences; Beijing China

2. Mathematical Sciences Center; Tsinghua University; Beijing China

3. Department of Mathematics; Hong Kong University of Science and Technology; Kowloon Hong Kong

Funder

National Natural Science Foundation of China

CAS

Hong Kong RGC

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference22 articles.

1. On asymptotic distributions of estimates of parameters of stochastic difference equations;Anderson;Annals of Mathematical Statistics,1959

2. Estimation in nonstationary random coefficient autoregressive models;Berkes;Journal of Time Series Analysis,2009

3. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Eonometrics,1986

4. Extremal behavior of the autoregressive process with ARCH(1) errors;Borkovec;Stochastic Processes and their Applications,2000

5. The tail of the stationary distribution of an autoregressive process with ARCH(1) errors;Borkovec;Annals of Applied Probability,2001

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