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math.ST2020
Comments on the presence of serial correlation in the random coefficients of an autoregressive process
Frédéric Proïa, Marius Soltane
We consider an RCAR process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give t…
math.ST2018
Asymptotic efficiency in the Autoregressive process driven by a stationary Gaussian noise
Marius Soltane
The first purpose of this article is to obtain a.s. asymptotic properties of the maximum likelihood estimator in the autoregressive process driven by a stationary Gaussian noise. T…