Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
We discuss nonparametric estimation of the distribution function G(x) of the autoregressive coefficient from a panel of N random-coefficient AR(1) data, each of length n, by the empirical distribution of lag 1 sample correlations of individual AR(1) processes. Consistency and asymptotic normality of the empirical distribution function and a class of kernel density estimators is established unde...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2017
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2016.09.007