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 sq...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.展开更多
In this paper, we study the problem of a variety of p, onlinear time series model Xn＋ 1= TZn＋1（X（n）, … ,X（n - Zn＋l）, en＋1（Zn＋1）） in which {Zn} is a Markov chain with finite state space, and for every sta...In this paper, we study the problem of a variety of p, onlinear time series model Xn＋ 1= TZn＋1（X（n）, … ,X（n - Zn＋l）, en＋1（Zn＋1）） in which {Zn} is a Markov chain with finite state space, and for every state i of the Markov chain, {en（i）} is a sequence of independent and identically distributed random variables. Also, the limit behavior of the sequence {Xn} defined by the above model is investigated. Some new novel results on the underlying models are presented.展开更多
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)+4 种基金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).
文摘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 Excellent Youth Foundation of Educational Committee of Hunan Provincial(No.08B005)the Scientific Research Funds of Hunan Provincial Education Department of China(No.08Cl19)+1 种基金CSU Doctoral Candidate Creative Fund(No.3340-75206)the Scientific Research Funds of Hunan Provincial Science and Technology Department of China(No.2009FJ3103)
文摘In this paper, we study the problem of a variety of p, onlinear time series model Xn＋ 1= TZn＋1（X（n）, … ,X（n - Zn＋l）, en＋1（Zn＋1）） in which {Zn} is a Markov chain with finite state space, and for every state i of the Markov chain, {en（i）} is a sequence of independent and identically distributed random variables. Also, the limit behavior of the sequence {Xn} defined by the above model is investigated. Some new novel results on the underlying models are presented.
