Gaussian autoregressive process with dependent innovations. Some asymptotic results

arXiv1704.03262MaRDI QIDQ6285385FDOQ6285385

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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