1. On a class of estimators in a multivariate RCA(1) model
- Creator:
- Prášková, Zuzana and Vaněček, Pavel
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- multivariate RCA models, parameter estimation, and asymptotic variance matrix
- Language:
- English
- Description:
- This work deals with a multivariate random coefficient autoregressive model (RCA) of the first order. A class of modified least-squares estimators of the parameters of the model, originally proposed by Schick for univariate first-order RCA models, is studied under more general conditions. Asymptotic behavior of such estimators is explored, and a lower bound for the asymptotic variance matrix of the estimator of the mean of random coefficient is established. Finite sample properties are demonstrated in a small simulation study.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public