On the AR(1) Process with Stochastic Coefficient

  • Hwang, Sun-Y (Department of Statistics, Sookmyung Womens Univ., Seoul 140-742 Korea)
  • Published : 1996.08.01

Abstract

This paper is concerned with an estimation problem for the AR(1) process $Y_t, t=0, {\pm}1, {\cdots}$with time carying autoregressive coefficient, where coefficient itself is also stochastic process. Attention is directed to the problem of finding a consistent estimator of ${\Phi}$, the mean level of autoregressive coefficient. The asymptotic distribution of the resulting consistent estimator of ${\Phi}$, is them discussed. We do not assume any time series model for the time varying autoregressive coefficient.

Keywords

References

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