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Estimation in Random Coefficient Autoregressive Models
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DOI：10.1111/j.1467-9892.2005.00453.x.png)
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Abstract
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Abstract. We propose the quasi‐maximum likelihood method to estimate the parameters of an RCA(1) process, i.e. a random coefficient autoregressive time series of order 1. The strong consistency and the asymptotic normality of the estimators are derived under optimal conditions.
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