Random coefficient continuous systems: Testing for extreme sample path behavior
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.01.002
Abstract: This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model… read more here.
Keywords: coefficient continuous; continuous systems; sample path; extreme sample ... See more keywords
Variable selection in generalized random coefficient autoregressive models
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Inequalities and Applications"
DOI: 10.1186/s13660-018-1680-4
Abstract: In this paper, we consider the variable selection problem of the generalized random coefficient autoregressive model (GRCA). Instead of parametric likelihood, we use non-parametric empirical likelihood in the information theoretic approach. We propose an empirical… read more here.
Keywords: coefficient autoregressive; generalized random; selection generalized; random coefficient ... See more keywords
Estimation for random coefficient integer-valued autoregressive model under random environment
Sign Up to like & getrecommendations! Published in 2019 at "Advances in Difference Equations"
DOI: 10.1186/s13662-019-2436-2
Abstract: A first-order random coefficient integer-valued autoregressive model based on the negative binomial thinning operator under r states random environment is introduced. This paper derives numerical characteristics of the proposed model, establishes Yule–Walker estimators of model… read more here.
Keywords: coefficient integer; integer valued; valued autoregressive; model ... See more keywords
A Zero-Inflated Geometric INAR(1) Process with Random Coefficient
Sign Up to like & getrecommendations! Published in 2018 at "Applications of Mathematics"
DOI: 10.21136/am.2018.0082-17
Abstract: Many real-life count data are frequently characterized by overdispersion, excess zeros and autocorrelation. Zero-inflated count time series models can provide a powerful procedure to model this type of data. In this paper, we introduce a… read more here.
Keywords: zero inflated; process; random coefficient; process random ... See more keywords
Testing Coefficient Randomness in Multivariate Random Coefficient Autoregressive Models Based on Locally Most Powerful Test
Sign Up to like & getrecommendations! Published in 2024 at "Mathematics"
DOI: 10.3390/math12162455
Abstract: The multivariate random coefficient autoregression (RCAR) process is widely used in time series modeling applications. Random autoregressive coefficients are usually assumed to be independent and identically distributed sequences of random variables. This paper investigates the… read more here.
Keywords: test; multivariate random; random coefficient; coefficient ... See more keywords