Thavaneswaran, A.; Liang, You; Frank, Julieta - In: Statistics & Probability Letters 82 (2012) 12, pp. 2086-2090
Estimating functions have been shown to be convenient to study inference for nonlinear time series models. One such model is the recently proposed Random Coefficient Autoregressive (RCA) model with Generalized Autoregressive Heteroscedasticity (GARCH) errors (Thavaneswaran et al., 2009). We...