Gaussian autoregressive process with dependent innovations. Some asymptotic results

MaRDI QIDQ6285385zbMATH OpenFDO

Authors Fabio Gobbi, Sabrina Mulinacci

Publication date 11 April 2017

Abstract: 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 $Y_{t-1}$ and the next innovation $x{i}_t$. We call this model dependent innovations gaussian AR(1) process (DIG-AR(1)). We analyze the moment and temporal dependence properties of the new model. After proving that the OLS estimator does not consistently estimate the autoregressive parameter, we introduce an infeasible estimator and we provide its $sqrtT$-asymptotic normality.

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