A New Random Coefficient Autoregressive Model Driven by an Unobservable State Variable
A novel random coefficient autoregressive model is proposed, and a feature of the model is the non-stationarity of the state equation. The autoregressive coefficient is an unknown function with an unobservable state variable, which can be estimated by the local linear regression method. The iterativ...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-12-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/12/24/3890 |
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