Comments on the presence of serial correlation in the random coefficients of an autoregressive process
| Autor: | Marius Soltane, Frédéric Proïa |
|---|---|
| Přispěvatelé: | Université d'Angers (UA), Laboratoire Angevin de Recherche en Mathématiques (LAREMA), Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS), Laboratoire Manceau de Mathématiques (LMM), Le Mans Université (UM) |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Existential quantification 010102 general mathematics Autocorrelation Process (computing) Mathematics - Statistics Theory 01 natural sciences 010104 statistics & probability Autoregressive model Consistency (statistics) [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] Applied mathematics 0101 mathematics Statistics Probability and Uncertainty Mathematics |
| Zdroj: | Statistics and Probability Letters Statistics and Probability Letters, Elsevier, 2021, 170, pp.108988. ⟨10.1016/j.spl.2020.108988⟩ |
| ISSN: | 0167-7152 |
| DOI: | 10.1016/j.spl.2020.108988⟩ |
| Popis: | International audience; 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 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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