Affiliation:
1. School of Mathematics and Statistics, Hubei Normal University, Huangshi 435002, China
Abstract
This paper studies a linear regression model, whose errors are functional coefficient autoregressive processes. Firstly, the quasi-maximum likelihood (QML) estimators of some unknown parameters are given. Secondly, under general conditions, the asymptotic properties (existence, consistency, and asymptotic distributions) of the QML estimators are investigated. These results extend those of Maller (2003), White (1959), Brockwell and Davis (1987), and so on. Lastly, the validity and feasibility of the method are illuminated by a simulation example and a real example.
Funder
Chinese Ministry of Education
Subject
General Engineering,General Mathematics
Cited by
9 articles.
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