Comments on the presence of serial correlation in the random coefficients of an autoregressive process
Résumé
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
Domaines
Statistiques [math.ST]| Origine | Fichiers produits par l'(les) auteur(s) |
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