The Strong Consistency of Quasi-Maximum Likelihood Estimators for p-order Random Coefficient Autoregressive (RCA) Models

Mohammed Benmoumen; Imane Salhi

doi:10.1007/s13171-021-00269-w

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JOURNAL ARTICLE

The Strong Consistency of Quasi-Maximum Likelihood Estimators for p-order Random Coefficient Autoregressive (RCA) Models

Mohammed Benmoumen Imane Salhi

Year: 2021 Journal: Sankhya A Vol: 85 (1)Pages: 617-632 Publisher: Springer Science+Business Media

DOI: 10.1007/s13171-021-00269-w

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Keywords:

Autoregressive model Estimator Mathematics Ergodic theory Strong consistency Consistency (knowledge bases) Kalman filter Applied mathematics Statistics STAR model Econometrics Autoregressive integrated moving average Mathematical analysis Discrete mathematics Time series

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Statistical Methods and Inference

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Statistical Distribution Estimation and Applications

Physical Sciences → Mathematics → Statistics and Probability

The Strong Consistency of Quasi-Maximum Likelihood Estimators for p-order Random Coefficient Autoregressive (RCA) Models

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