Asymptotics for the conditional self ‐weighted M$$ M $$ estimator of GRCA(p$$ p $$) models and its statistical inference

SummaryUnder the p$$ p $$-order generalised random coefficient autoregressive (GRCA(p$$ p $$)) model with random coefficients Φt,$$ {\boldsymbol{\Phi}}_t, $$ we propose a conditional self-weighted M$$ M $$ estimator of EΦt$$ \mathrm{E}{\boldsymbol{\Phi}}_t $$. We investigate the asymptotic normality of this estimator with possibly heavy-tailed random variables. Furthermore, a Wald test statistic is constructed for the li near restriction on the parameters. In addition, the simulation experiments are carried out to assess the finite sample performance of theoretical results. Finally, a real data analysis about the increase (%) in the number of construction projects this year over the same period of last year is provi ded.
Source: Australian and New Zealand Journal of Statistics - Category: Statistics Authors: Tags: Theory and Methods Source Type: research