Asymptotic behavior of LSE estimator of an AR(1) coefficient with associated innovations
- 11 May 2022
- journal article
- review article
- Published by Taylor & Francis Ltd in Communications in Statistics - Theory and Methods
- Vol. 52 (21), 1-8
- https://doi.org/10.1080/03610926.2022.2071941
Abstract
This article is devoted to the asymptotic properties of the ordinary least squares estimator (LSE) of the coefficient ρ in a stationary autoregressive process of order one with negatively associated innovations. Under appropriate conditions, consistency and asymptotic normality are derived.Keywords
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