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20072009
most citedTesting for change points in time series models and limiting theorems for NED sequences

52 citations

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stat.ME2009

Estimation in nonstationary random coefficient autoregressive models

Istvan Berkes, Lajos Horvath, Shiqing Ling

We investigate the estimation of parameters in the random coefficient autoregressive model. We consider a nonstationary RCA process and show that the innovation variance parameter…