Random coefficient autoregressive models: an introduction
Nicholls, D. F., Quinn, B. G., Random coefficient autoregressive models: an introduction, Lecture Notes in Statistics, 11, Springer Verlag, New York, 1983, 154p.
In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interest.