Consistency and asymptotic normality of Maximum Likelihood estimators of Autoregressive Random Coefficient Models
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Date
2020
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
ummto
Abstract
his dissertation is devoted to the study of some properties of the random coefficient au-
toregressive process. This process is commonly referred to as a sequence 89ffully
described by its past values multiplied by random coefficients and disturbed by white noise.
We treat some problems of the study of such processes: stationarity, conditions of existence
of a stationary solution and unknown parameters estimation. We end this work with sim-
ulations carried out by the R languag
Description
89f.,ill.;30cm
Keywords
Estimation, Autoregressive models, Random Coefficients autoregressive, Maximum likelihood estimation
Citation
probabilités et statistiques