Comments on the presence of serial correlation in the random coefficients of an autoregressive process

DOI10.1016/j.spl.2020.108988zbMath1461.62161arXiv2005.13951OpenAlexW3095190490MaRDI QIDQ2657974

M. Soltane, Frédéric Proïa

Publication date: 18 March 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.13951

zbMATH Keywords

time seriesrandom coefficientsRCAR processOLS estimationordinary least squares (OLS)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

A new bivariate autoregressive model driven by logistic regression

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