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A new iterative procedure for estimation of RCA parameters based on estimating functions. (English) Zbl 1235.62123
Summary: This paper considers a novel approach for estimation of random coefficient autoregressive models using an iterative (IT) procedure based on estimating functions (EF). We compare the performance of these new estimates with the traditional least squares (LS) and the standard EF estimates via a large scale simulation study. It is shown that the proposed IT procedure performs better than the other two methods.
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05 Nonparametric estimation
62F10 Point estimation
65C60 Computational problems in statistics (MSC2010)
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