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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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https://hal.archives-ouvertes.fr/hal-02861556
Contributor : Frédéric Proïa Connect in order to contact the contributor
Submitted on : Tuesday, June 9, 2020 - 9:47:41 AM
Last modification on : Wednesday, October 20, 2021 - 3:19:18 AM

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  • HAL Id : hal-02861556, version 1
  • ARXIV : 2005.13951

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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, Elsevier, 2021, 170. ⟨hal-02861556⟩

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