2 papers
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…
math.ST2006★ 64 cited
Fitting an error distribution in some heteroscedastic time series models
Hira L. Koul, Shiqing Ling
This paper addresses the problem of fitting a known distribution to the innovation distribution in a class of stationary and ergodic time series models. The asymptotic null distrib…