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The estimation of random coefficient autoregressive models. I. (English) Zbl 0495.62083

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05 Central limit and other weak theorems
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References:
[1] Andel J., Math. Operationsforsch. u. Statist. 7 pp 735– (1976) · Zbl 0346.62066
[2] DOI: 10.2307/2034876 · Zbl 0129.10701
[3] DOI: 10.2307/2525877 · Zbl 0283.60065
[4] DOI: 10.2307/2525802 · Zbl 0361.62092
[5] DOI: 10.2307/3315017 · Zbl 0435.15022
[6] D. F. Nicholls, and B. G. Quinn (1980 ) Multiple Autoregressive Models with Random Coefficients J. Mult. Anal. (to appear). · Zbl 0512.62084
[7] Rosenberg B., Ann. of Econ. and Soc. Meas. 2 pp 381– (1973)
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