A test of correlation in the random coefficients of an autoregressive process

DOI10.3103/S1066530718020035zbMath1401.62174arXiv1606.06772OpenAlexW2744670223MaRDI QIDQ1788724

M. Soltane, Frédéric Proïa

Publication date: 8 October 2018

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.06772

zbMATH Keywords

asymptotic normalityergodicityrandom coefficientsstationarityautocorrelationleast squares estimationMA processRCAR process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Parametric hypothesis testing (62F03)

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Comments on the presence of serial correlation in the random coefficients of an autoregressive process, Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood, Random coefficient autoregressive processes and the PUCK model with fluctuating potential

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