• Title/Summary/Keyword: GRCA(p) model

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The Asymptotic Variance of the Studentized Residual Autocorrelations for a Generalized Random Coefficient Autoregressive Processes

  • Park, Sang-Woo;Cho, Sin-Sup;Hwang, Sun Y.
    • Journal of the Korean Statistical Society
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    • v.26 no.4
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    • pp.531-541
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    • 1997

  • The asymptotic distribution of residual autocorrelation functions from a generalized p-order random coefficient autoregressive process (GRCA(p)) is derived. To this end, we first describe the GRCA(p) models and then consider the normalised residuals after fitting the model. This result can be applied to the residual analysis for the diagonostic purpose.

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