QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes
Author
Source
Mathematical Problems in Engineering
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-30, 30 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-06-28
Country of Publication
Egypt
No. of Pages
30
Main Subjects
Abstract EN
This paper studies a linear regression model, whose errors are functional coefficient autoregressive processes.
Firstly, the quasi-maximum likelihood (QML) estimators of some unknown parameters are given.
Secondly, under general conditions, the asymptotic properties (existence, consistency, and asymptotic distributions) of the QML estimators are investigated.
These results extend those of Maller (2003), White (1959), Brockwell and Davis (1987), and so on.
Lastly, the validity and feasibility of the method are illuminated by a simulation example and a real example.
American Psychological Association (APA)
Hu, Hongchang. 2010. QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes. Mathematical Problems in Engineering،Vol. 2010, no. 2010, pp.1-30.
https://search.emarefa.net/detail/BIM-511286
Modern Language Association (MLA)
Hu, Hongchang. QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes. Mathematical Problems in Engineering No. 2010 (2010), pp.1-30.
https://search.emarefa.net/detail/BIM-511286
American Medical Association (AMA)
Hu, Hongchang. QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes. Mathematical Problems in Engineering. 2010. Vol. 2010, no. 2010, pp.1-30.
https://search.emarefa.net/detail/BIM-511286
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-511286