Results 261 to 270 of about 383,160 (312)

Asymptotic inference for a nonstationary double AR(1) model

Biometrika, 2008
We investigate the nonstationary double AR(1) model, y t = Φy t-1 + η t √ (ω + αy 2 t-1 ), where ω > 0, a > 0, the η t are independent standard normal random variables and E log |Φ+ η t √α | ≥ 0. We show that the maximum likelihood estimator of (Φ, α) is consistent and asymptotically normal. Combination of this result with that in Ling (2004) for
Ling, Shiqing, Li, Dong
openaire   +4 more sources

The polynomial aggregated AR(1) model*

The Econometrics Journal, 2006
Summary: This paper develops a new kind of aggregation model. We extend the work of \textit{M. Linden} [Econ. Lett. 64, No.~1, 31--36 ( (1999; Zbl 1049.62510) to allow the AR coefficient to be drawn from a polynomial density function. The polynomial density incorporates a wealth of multi-modal density functions as special cases.
Terence Tai-Leung Chong
openaire   +3 more sources

Some of the next articles are maybe not open access.

Related searches:

Chaotic AR(1) model estimation

2001 IEEE International Conference on Acoustics, Speech, and Signal Processing. Proceedings (Cat. No.01CH37221), 2002
Chaotic signals generated by iterating nonlinear difference equations may be useful models for many natural phenomena. We propose a family of chaotic models for signal processing applications. The chaotic signals generated by this family of first-order difference equations have autocorrelations identical to stochastic first-order autoregressive (AR ...
Carlos Pantaleón, David Luengo, Ignacio Santamaría   +2 more
openaire   +1 more source

A threshold AR(1) model

Journal of Applied Probability, 1984
We consider the model where φ 1, φ 2 are real coefficients, not necessarily equal, and the at ,'s are a sequence of i.i.d. random variables with mean 0. Necessary and sufficient conditions on the φ 's are given for stationarity of the process.
Petruccelli, Joseph D., Woolford, Samuel W.   +1 more
openaire   +1 more source

CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL

Journal of Time Series Analysis, 1995
Abstract.The construction of approximate joint and marginal confidence regions for parameters in the first‐order autoregressive time series model is discussed. These regions are based on the large sample distributions of the likelihood ratio (and approximations to it), of the maximum likelihood estimates and of the score statistics.
Hamilton, David C., Wu, Ka Ho
openaire   +2 more sources

A multiple-threshold AR(1) model

Journal of Applied Probability, 1985
We consider the modelZt=φ(0,k)+ φ(1,k)Zt–1+at(k) wheneverrk−1<Zt−1≦rk, 1≦k≦l, withr0= –∞ andrl=∞. Here {φ(i, k);i= 0, 1; 1≦k≦l} is a sequence of real constants, not necessarily equal, and, for 1≦k≦l, {at(k),t≧1} is a sequence of i.i.d. random variables with mean 0 and with {at(k),t≧1} independent of {at(j),t≧1} forj≠k.Necessary and sufficient ...
Chan, K. S., Petruccelli, Joseph D., Tong, H., Woolford, Samuel W.   +3 more
openaire   +2 more sources

TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS

Econometric Theory, 2013
Relevant sample quantities such as the sample autocorrelation function and extremes contain useful information about autoregressive time series with heteroskedastic errors. As these quantities usually depend on the tail index of the underlying heteroskedastic time series, estimating the tail index becomes an important task. Since the tail index of such
Chan, Ngai Hang, Li, Deyuan, Peng, Liang, Zhang, Rongmao   +3 more
openaire   +1 more source

STRUCTURAL CHANGE IN AR(1) MODELS

Econometric Theory, 2001
This paper investigates the consistency of the least squares estimators and derives their limiting distributions in an AR(1) model with a single structural break of unknown timing. Let β1 and β2 be the preshift and postshift AR parameter, respectively. Three cases are considered: (i) |β1| < 1 and |β2| < 1; (ii) |β1| < 1 and β2 = 1; and
openaire   +2 more sources

An omnibus test for the time series model AR(1)

Journal of Econometrics, 2004
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Anderson, T. W., Lockhart, R. A., Stephens, M. A.   +2 more
openaire   +1 more source

Unit root bootstrap tests for AR (1) models

Biometrika, 1996
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ferretti, Nelida, Romo, Juan
openaire   +1 more source