Random coefficients bifurcating autoregressive processes

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.

No reviews yet.

No comments yet.