Abstract
In order to illustrate the procedures introduced in chapters 3 and 4 a number of simulations were performed with first and second order univariate RCA models for several sets of data of different sizes. While the simulations performed have been by no means exhaustive, as we shall see the results do conform with the asymptotic theory developed in the last two chapters.
Keywords
- Maximum Likelihood Estimate
- Central Limit Theorem
- Strong Consistency
- Fourth Moment
- Maximum Likelihood Estimation Procedure
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© 1982 Springer-Verlag New York Inc.
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Nicholls, D.F., Quinn, B.G. (1982). A Monte Carlo Study. In: Random Coefficient Autoregressive Models: An Introduction. Lecture Notes in Statistics, vol 11. Springer, New York, NY. https://doi.org/10.1007/978-1-4684-6273-9_5
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DOI: https://doi.org/10.1007/978-1-4684-6273-9_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-90766-6
Online ISBN: 978-1-4684-6273-9
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