On an autoregressive model with time-dependent coefficients |
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Authors: | Gea Hwa Kwoun Yoshihiro Yajima |
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Institution: | (1) Tokyo Institute of Technology, Tokyo, Japan |
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Abstract: | Summary As one of the non-stationary time series model, we consider a firstorder autoregressive model in which the autoregressive
coefficient is assumed to be a function,f
t
(θ), of timet. We establish several assumptions onf
t
(θ), not on the terms in the Taylor expansion of log-likelihood function, and show that the estimators of unknown parameters
involved inf
t
(θ) have strong consistency and asymptotic normality under these assumptions when sample size tends to infinity. |
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Keywords: | Time-dependent coefficients strong consistency asymptotic normality |
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