11 citations · 20 across the 6 of their papers we have counts for
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math.ST2020
State-Dependent Autoregressive Models: Properties, Estimation and Forecasting
Fabio Gobbi, Sabrina Mulinacci
This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time seri…
math.ST2017
Gaussian autoregressive process with dependent innovations. Some asymptotic results
Fabio Gobbi, Sabrina Mulinacci
In this paper we introduce a modified version of a gaussian standard first-order autoregressive process where we allow for a dependence structure between the state variable $Y_{t-1…
math.ST2017
-mixing and moments properties of a non-stationary copula-based Markov process
Fabio Gobbi, Sabrina Mulinacci
This paper provides conditions under which a non-stationary copula-based Markov process is -mixing. We introduce, as a particular case, a convolution-based gaussian Markov proce…