Random Coefficient Autoregressive Models: An Introduction

Name: Random Coefficient Autoregressive Models: An Introduction
Brand: Springer-Verlag New York Inc.
SKU: 9780387907666
Price: 212.24 PLN
Availability: InStock

An Introduction

Autor: D.F. Nicholls, B.G. Quinn

Język:

Oprawa: Miękka

Wydawca: Springer-Verlag New York Inc.

Dostępność: Dostępna u dostawcy

Wysyłamy za 5-8 dni

212.24 zł

In this monograph we have considered a class of autoregressive models whose coefficients are random....

Informacje o książce

Autor

D.F. Nicholls, B.G. Quinn

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

1982

strony

154

EAN

9780387907666

ISBN

0387907661

Enbook ID

02170939

Wydawca

Springer-Verlag New York Inc.

Waga

260

Wymiary

155 x 235 x 10

Pełny opis

In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interest. We are grateful to many colleagues in both Departments of Statistics at the Australian National University and in the Department of Mathematics at the University of Wo110ngong. Their constructive criticism has aided in the presentation of this monograph. We would also like to thank Dr M. A. Ward of the Department of Mathematics, Australian National University whose program produced, after minor modifications, the "three dimensional" graphs of the log-likelihood functions which appear on pages 83-86. Finally we would like to thank J. Radley, H. Patrikka and D. Hewson for their contributions towards the typing of a difficult manuscript. IV CONTENTS CHAPTER 1 INTRODUCTION 1. 1 Introduction 1 Appendix 1. 1 11 Appendix 1. 2 14 CHAPTER 2 STATIONARITY AND STABILITY 15 2. 1 Introduction 15 2. 2 Singly-Infinite Stationarity 16 2. 3 Doubly-Infinite Stationarity 19 2. 4 The Case of a Unit Eigenvalue 31 2. 5 Stability of RCA Models 33 2. 6 Strict Stationarity 37 Appendix 2. 1 38 CHAPTER 3 LEAST SQUARES ESTIMATION OF SCALAR MODELS 40 3.

Możesz być zainteresowany

Klienci, którzy kupili tę książkę, kupili również

Najczęściej wyszukiwane

Categories

Authors

Publishers

Produkty

Produkty

Najczęściej wyszukiwane

Categories

Authors

Publishers

Produkty

Produkty

Random Coefficient Autoregressive Models: An Introduction

An Introduction

Informacje o książce

Pełny opis

Możesz być zainteresowany

Klienci, którzy kupili tę książkę, kupili również