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Journal Articles Statistics and Probability Letters Year : 2021

Comments on the presence of serial correlation in the random coefficients of an autoregressive process

Abstract

We consider an RCAR(p) process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give the correct asymptotic behavior and some simulations come to illustrate the results
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Dates and versions

hal-02861556 , version 1 (03-02-2023)

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Attribution - NonCommercial

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Frédéric Proïa, Marius Soltane. Comments on the presence of serial correlation in the random coefficients of an autoregressive process. Statistics and Probability Letters, 2021, 170, pp.108988. ⟨10.1016/j.spl.2020.108988⟩. ⟨hal-02861556⟩
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