Random coefficient autoregressive models: an introduction
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Springer
1982
|
| Series: | Lecture notes in statistics
11 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | V, 154 S. graph. Darst. |
| ISBN: | 0387907661 3540907661 |
Staff View
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| 100 | 1 | |a Nicholls, Des F. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Random coefficient autoregressive models |b an introduction |c Des F. Nicholls ; Barry G. Quinn |
| 264 | 1 | |a New York [u.a.] |b Springer |c 1982 | |
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Record in the Search Index
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| adam_text | IV
CONTENTS
Page
CHAPTER 1 INTRODUCTION 1
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
3.1 Introduction 40
3.2 The Estimation Procedure 42
3.3 Strong Consistency and the Central
Limit Theorem 43
3.4 The Consistent Estimation of the Covariance
Matrix of the Estimates 51
Appendix 3.1 52
Appendix 3.2 57
CHAPTER 4 MAXIMUM LIKELIHOOD ESTIMATION OF SCALAR MODELS 59
4.1 Introduction 59
4.2 The Maximum Likelihood Procedure 60
4.3 The Strong Consistency of the Estimates 64
4.4 The Central Limit Theorem 70
4.5 Some Practical Aspects 73
Appendix 4.1 75
Appendix 4.2 77
CHAPTER 5 A MONTE CARLO STUDY 81
5.1 Simulation and Estimation Procedures 81
5.2 First and Second Order Random Coefficient
Autoregressions 88
5.3 Summary 97
V
Page
CHAPTER 6 TESTING THE RANDOMNESS OF THE COEFFICIENTS 98
6.1 Introduction 98
6.2 The Score Test 99
6.3 An Alternative Test 104
6.4 Power Comparisons 108
Appendix 6.1 111
CHAPTER 7 THE ESTIMATION OF MULTIVARIATE MODELS 124
7.1 Preliminary 124
7.2 The Least Squares Estimation Procedure 124
7.3 The Asymptotic Properties of the Estimates 127
7.4 Maximum Likelihood Estimation 132
7.5 Conclusion 135
Appendix 7.1 136
CHAPTER 8 AN APPLICATION 139
8.1 Introduction 139
8.2 A Non Linear Model for the Lynx Data 140
REFERENCES 150
AUTHOR AND SUBJECT INDEX 153
|
| any_adam_object | 1 |
| author | Nicholls, Des F. Quinn, Barry G. |
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| dewey-search | 519.5/36 |
| dewey-sort | 3519.5 236 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T15:08:11Z |
| institution | BVB |
| isbn | 0387907661 3540907661 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-000033939 |
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| physical | V, 154 S. graph. Darst. |
| publishDate | 1982 |
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| publishDateSort | 1982 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in statistics |
| series2 | Lecture notes in statistics |
| spelling | Nicholls, Des F. Verfasser aut Random coefficient autoregressive models an introduction Des F. Nicholls ; Barry G. Quinn New York [u.a.] Springer 1982 V, 154 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in statistics 11 Analyse de régression Variables aléatoires Random variables Regression analysis Zufallsvariable (DE-588)4129514-6 gnd rswk-swf Regressionsanalyse (DE-588)4129903-6 gnd rswk-swf Autoregressives Modell (DE-588)4143717-2 gnd rswk-swf Zufallsvariable (DE-588)4129514-6 s Regressionsanalyse (DE-588)4129903-6 s DE-604 Autoregressives Modell (DE-588)4143717-2 s Quinn, Barry G. Verfasser aut Lecture notes in statistics 11 (DE-604)BV002447846 11 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000033939&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nicholls, Des F. Quinn, Barry G. Random coefficient autoregressive models an introduction Lecture notes in statistics Analyse de régression Variables aléatoires Random variables Regression analysis Zufallsvariable (DE-588)4129514-6 gnd Regressionsanalyse (DE-588)4129903-6 gnd Autoregressives Modell (DE-588)4143717-2 gnd |
| subject_GND | (DE-588)4129514-6 (DE-588)4129903-6 (DE-588)4143717-2 |
| title | Random coefficient autoregressive models an introduction |
| title_auth | Random coefficient autoregressive models an introduction |
| title_exact_search | Random coefficient autoregressive models an introduction |
| title_full | Random coefficient autoregressive models an introduction Des F. Nicholls ; Barry G. Quinn |
| title_fullStr | Random coefficient autoregressive models an introduction Des F. Nicholls ; Barry G. Quinn |
| title_full_unstemmed | Random coefficient autoregressive models an introduction Des F. Nicholls ; Barry G. Quinn |
| title_short | Random coefficient autoregressive models |
| title_sort | random coefficient autoregressive models an introduction |
| title_sub | an introduction |
| topic | Analyse de régression Variables aléatoires Random variables Regression analysis Zufallsvariable (DE-588)4129514-6 gnd Regressionsanalyse (DE-588)4129903-6 gnd Autoregressives Modell (DE-588)4143717-2 gnd |
| topic_facet | Analyse de régression Variables aléatoires Random variables Regression analysis Zufallsvariable Regressionsanalyse Autoregressives Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000033939&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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