QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes
نویسندگان
چکیده
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.
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