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Random coefficient autoregressive loss reserving, revisited

โœ Scribed by Erhard Kremer

Publisher
Springer-Verlag
Year
2003
Tongue
German
Weight
132 KB
Volume
26
Category
Article
ISSN
1864-0281

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Minimum distance estimation for random c
Minimum distance estimation for random coefficient autoregressive models
โœ V. Swaminathan; U.V. Naik-Nimbalkar ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 445 KB

In this paper, we extend the minimum distance method of Beran (1993) to random coefficient autoregressive (RCA) models. After stating the necessary assumptions the asymptotic properties of the minimum distance estimator are derived.