A test of correlation in the random coefficients of an autoregressive process
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Publication:1788724
DOI10.3103/S1066530718020035zbMath1401.62174arXiv1606.06772OpenAlexW2744670223MaRDI QIDQ1788724
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
asymptotic normalityergodicityrandom coefficientsstationarityautocorrelationleast squares estimationMA processRCAR process
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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