Asymptotic behavior of LSE estimator of an AR(1) coefficient with associated innovations

Sara-Imane Zemoul and Youcef Berkoun

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 21, 7780-7787

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.

Date: 2023
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DOI: 10.1080/03610926.2022.2071941

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