Random Coefficient Autoregressive Models: An Introduction

Name: Random Coefficient Autoregressive Models: An Introduction
Brand: Springer-Verlag New York Inc.
SKU: 9780387907666
Price: 50.19 EUR
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An Introduction

Autor: D.F. Nicholls, B.G. Quinn

Jazyk:

Väzba: Brožovaná

Vydavateľ: Springer-Verlag New York Inc.

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In this monograph we have considered a class of autoregressive models whose coefficients are random....

Informácie o knihe

Autor

D.F. Nicholls, B.G. Quinn

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

1982

Stránok

154

EAN

9780387907666

ISBN

0387907661

Enbook ID

02170939

Vydavateľ

Springer-Verlag New York Inc.

Hmotnosť

260

Rozmery

155 x 235 x 10

Kompletný popis

In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interest. We are grateful to many colleagues in both Departments of Statistics at the Australian National University and in the Department of Mathematics at the University of Wo110ngong. Their constructive criticism has aided in the presentation of this monograph. We would also like to thank Dr M. A. Ward of the Department of Mathematics, Australian National University whose program produced, after minor modifications, the "three dimensional" graphs of the log-likelihood functions which appear on pages 83-86. Finally we would like to thank J. Radley, H. Patrikka and D. Hewson for their contributions towards the typing of a difficult manuscript. IV CONTENTS CHAPTER 1 INTRODUCTION 1. 1 Introduction 1 Appendix 1. 1 11 Appendix 1. 2 14 CHAPTER 2 STATIONARITY AND STABILITY 15 2. 1 Introduction 15 2. 2 Singly-Infinite Stationarity 16 2. 3 Doubly-Infinite Stationarity 19 2. 4 The Case of a Unit Eigenvalue 31 2. 5 Stability of RCA Models 33 2. 6 Strict Stationarity 37 Appendix 2. 1 38 CHAPTER 3 LEAST SQUARES ESTIMATION OF SCALAR MODELS 40 3.

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Random Coefficient Autoregressive Models: An Introduction

An Introduction

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