Asymptotic behavior of LSE estimator of an AR(1) coefficient with associated innovations

DOI10.1080/03610926.2022.2071941OpenAlexW4280648995MaRDI QIDQ6053874

Unnamed Author, Y. Berkoun

Publication date: 24 October 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2071941

zbMATH Keywords

linear processweak dependenceautoregressive processsample covariancenegatively associated innovations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05)

Cites Work

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• Random central limit theorems for linear processes with weakly dependent innovations
• A functional limit theorem for \(\eta \)-weakly dependent processes and its applications
• The limit theorem for dependent random variables with applications to autoregression models
• Sample autocovariances of long-memory time series
• A new weak dependence condition and applications to moment inequalities
• Negative association of random variables, with applications
• On linear processes with dependent innovations
• Inference For Autocorrelations Under Weak Assumptions

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