QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes. (28th June 2010)

• Record Type: Journal Article
• Authors: Hu, Hongchang
• Other Names: Scalia Massimo Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2010(2010)
• Publication Date: 2010-06-28
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2010/956907
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : This paper studies a linear regression model, whose errors are functional coefficient autoregressive processes. Firstly, the quasi-maximum likelihood (QML) estimators of some unknown parameters are given. Secondly, under general conditions, the asymptotic properties (existence, consistency, and asymptotic distributions) of the QML estimators are investigated. These results extend those of Maller (2003), White (1959), Brockwell and Davis (1987), and so on. Lastly, the validity and feasibility of the method are illuminated by a simulation example and a real example.