Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence

Martingale Limit Theory and its Application.

R. M. Loynes, Peter Hall, C. C. Heyde · Journal of the Royal Statistical Society Series A (General) · 1984 · 2.8K citations · Full text

Engineering, Economics, Mathematics +12

Stopping Times and Tightness. II

David Aldous · The Annals of Probability · 1989 · 370 citations · Full text

Natural Sciences, Mathematics, Financial Economics +13

Stopping Times and Tightness

David Aldous · The Annals of Probability · 1978 · 344 citations · Full text

Engineering, Mathematics, Probability Theory +11

Statistical inference for a random coefficient autoregressive model

Peter M. Robinson · London School of Economics and Political Science Theses Online (London School of Economics and Political Science) · 1978 · 276 citations

Social Sciences, Economics, Econometrics +15

RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS

Paul D. Feigin, Richard L. Tweedie · Journal of Time Series Analysis · 1985 · 214 citations

Engineering, Mathematics, Probability Theory +16