Abstract
In this paper, we investigate the strong consistency of the quasi-maximum likelihood estimators derived through the Kalman filter for stationary random coefficient autoregressive (RCA) models. The estimators in question are the subject of Benmoumen et al. (2019) work. The suggested proof exploits both the ergodic theorem and Kalman filter asymptotic proprieties.
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Benmoumen, M., Salhi, I. The Strong Consistency of Quasi-Maximum Likelihood Estimators for p-order Random Coefficient Autoregressive (RCA) Models. Sankhya A 85, 617–632 (2023). https://doi.org/10.1007/s13171-021-00269-w
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DOI: https://doi.org/10.1007/s13171-021-00269-w