摘要
This paper considers the random coefficient autoregressive model with time-functional variance noises,hereafter the RCA-TFV model.We first establish the consistency and asymptotic normality of the conditional least squares estimator for the constant coefficient.The semiparametric least squares estimator for the variance of the random coefficient and the nonparametric estimator for the variance function are constructed,and their asymptotic results are reported.A simulation study is presented along with an analysis of real data to assess the performance of our method in finite samples.
基金
supported by the National Natural Science Foundation of China(Grant No.52338009)
the National Science Fund for Distinguished Young Scholars(Grant No.52025085)
the Graduate Research Innovation Project of Hunan Province(Grant No.CX20220952)
Xiaohui Liu’s research is supported by the NSF of China(Grant No.11971208)
the National Social Science Foundation of China(Grant No.21&ZD152)
the Outstanding Youth Fund Project of the Science and Technology Department of Jiangxi Province(Grant No.20224ACB211003)
the NSF of China(Grant No.92358303).
