Estimation in Random Coefficient Autoregressive Models

@inproceedings{Aue2005EstimationIR,
  title={Estimation in Random Coefficient Autoregressive Models},
  author={Alexander Aue and Lajos Horv{\'a}th and Josef G. Steinebach},
  year={2005}
}
We propose the quasi-maximum likelihood method to estimate the parameters of an RCA(1) process, i.e. a random coefficient autoregressive time series of order 1. The strong consistency and the asymptotic normality of the estimators are derived under optimal conditions. 
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