A. Aue, L. Horvath and J. Steinbach, “Estimation in Random Coefficient Autoregressive Models,” Journal of Time Series Analysis, Vol. 27, No. 1, 2006, pp. 61-76, doi:10.1111/j.1467-9892.2005.00453.x

has been cited by the following article:

• TITLE: The First Order Autoregressive Model with Coefficient Contains Non-Negative Random Elements: Simulation and Esimation

  AUTHORS: Pham Van Khanh

  KEYWORDS: Random Coefficient Autoregressive Model; Quasi-Maximum Likelihood; Consistency

  JOURNAL NAME: Open Journal of Statistics, Vol.2 No.5, December 19, 2012

  ABSTRACT: This paper considered an autoregressive time series where the slope contains random components with non-negative values. The authors determine the stationary condition of the series to estimate its parameters by the quasi-maximum likelihood method. The authors also simulates and estimates the coefficients of the simulation chain. In this paper, we consider modeling and forecasting gold chain on the free market in Hanoi, Vietnam.