Author： Saporta Benoîte de Gégout-Petit Anne Marsalle Laurence
Publisher： Edp Sciences
E-ISSN： 1262-3318|18|issue|365-399
ISSN： 1292-8100
Source： ESAIM: Probability and Statistics, Vol.18, Iss.issue, 2014-10, pp. : 365-399
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Abstract
This paper presents a new 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 asymptotic normality. We use both the bifurcating Markov chain and martingale approaches and derive new results in both these frameworks.
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