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Modeling and large sample estimation for multi-casting autoregression

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  • Hwang, S.Y.
  • Choi, M.S.

Abstract

Multi-casting autoregression (MCAR, for short) is suggested as a natural extension of the bifurcating autoregressive (BAR) model (cf. [Cowan, R., Staudte, R.G., 1986. The bifurcating autoregression model in cell lineage studies. Biometrics 42, 769-783]) in order to analyze multi-splitting tree-structured data. Pathwise stationarity of the MCAR model is discussed. Least squares estimation for the autoregressive parameter is considered and relevant limiting distribution is derived, in particular, for the pathwise explosive case. These results can be regarded as generalizations of those for standard stationary and explosive AR(1) time series. A simulation study is conducted to illustrate our results.

Suggested Citation

  • Hwang, S.Y. & Choi, M.S., 2009. "Modeling and large sample estimation for multi-casting autoregression," Statistics & Probability Letters, Elsevier, vol. 79(18), pages 1943-1950, September.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:18:p:1943-1950
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    References listed on IDEAS

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    1. Zhou, J. & Basawa, I.V., 2005. "Least-squares estimation for bifurcating autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 74(1), pages 77-88, August.
    2. Hwang, S.Y. & Basawa, I.V., 2009. "Branching Markov processes and related asymptotics," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1155-1167, July.
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    Cited by:

    1. Mao, Mingzhi, 2014. "The asymptotic behaviors for least square estimation of multi-casting autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 110-124.
    2. Hwang, S.Y. & Baek, J.S., 2010. "Limiting mixture distributions for AR(1) model indexed by a branching process," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 2003-2008, December.

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