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Autoregression quantiles and related rank score processes for generalized random coefficient autoregressive processes

โœ Scribed by Michel Harel; Madan L. Puri


Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
868 KB
Volume
68
Category
Article
ISSN
0378-3758

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Phillips and Magdalinos (2007) [1] gave the asymptotic theory for autoregressive time series with a root of the form ฯ n = 1 + c/k n , where k n is a deterministic sequence. In this paper, an extension to the more general case where the coefficients of an AR(1) model is a random variable and the