Random coefficients bifurcating autoregressive processes

Benoîte de Saporta; Anne Gégout-Petit; Laurence Marsalle

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arXiv · 1205.3658

Random coefficients bifurcating autoregressive processes

Benoîte de Saporta·Anne Gégout-Petit·Laurence Marsalle

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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.

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Benoîte de Saporta, Anne Gégout-Petit, Laurence Marsalle. 2013-04-17. Random coefficients bifurcating autoregressive processes. https://arxiv.org/abs/1205.3658

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