Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A test of correlation in the random coefficients of an autoregressive
  process   A random coefficient autoregressive process is deeply investigated in which
the coefficients are correlated. First we look at the existence of a strictly
stationary causal solution, we give the second-order stationarity conditions
and the autocorrelation function of the process. Then we study some asymptotic
properties of the empirical mean and the usual estimators of the process, such
as convergence, asymptotic normality and rates of convergence, supplied with
the appropriate assumptions on the driving perturbations. Our objective is to
get an overview of the influence of correlated coefficients in the estimation
step, through a simple model. In particular, the lack of consistency is shown
for the estimation of the autoregressive parameter when the independence
hypothesis is violated in the random coefficients. Finally, a consistent
estimation is given together with a testing procedure for the existence of
correlation in the coefficients. While convergence properties rely on the
ergodicity, we use a martingale approach to reach most of the results.

28
The categories of this paper are: alg-geom
36
The categories of this paper are: cmp-lg
6
The categories of this paper are: astro-ph
27
The categories of this paper are: comp-gas
1
The categories of this paper are: cs
31
The categories of this paper are: ao-sci
37
The categories of this paper are: supr-con
29
The categories of this paper are: funct-an
22
The categories of this paper are: chao-dyn
0
The categories of this paper are: hep-ph
20
The categories of this paper are: acc-phys
10
The categories of this paper are: q-bio
8
The categories of this paper are: hep-ex
14
The categories of this paper are: math-ph
5
The categories of this paper are: gr-qc
26
The categories of this paper are: bayes-an