Nicholls D.F., Quinn B.G. Random Coefficient Autoregressive Models: An Introduction

New York: Springer, 1982. - 159p.In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interestStationarity and Stability
Least Squares Estimation of Scalar Models
Maximum Likelihood Estimation of Scalar Models
A Monte Carlo Study
Testing the Randomness of the Coefficients
The Estimation of Multivariate Models
An Application