Random coefficients bifurcating autoregressive processes
Probability
2013-04-18 v3 Statistics Theory
Statistics Theory
Abstract
This paper presents a model of asymmetric bifurcating autoregressive process with random coefficients. We couple this model with a Galton Watson tree to take into account possibly missing observations. We propose least-squares estimators for the various parameters of the model and prove their consistency with a convergence rate, and their asymptotic normality. We use both the bifurcating Markov chain and martingale approaches and derive new important general results in both these frameworks.
Cite
@article{arxiv.1205.3658,
title = {Random coefficients bifurcating autoregressive processes},
author = {Benoîte de Saporta and Anne Gégout-Petit and Laurence Marsalle},
journal= {arXiv preprint arXiv:1205.3658},
year = {2013}
}