1
$\begingroup$

as the title says, I'm looking for references dealing with parameter estimation of (univariate) autoregressive processes with correlated noise. In the context I am studying this problem, I know that my noise sequence is strongly mixing and ergodic, but not uncorrelated. Are there any references dealing with this kind of problem? What kind of estimator is used does not really matter, but I would ideally like to obtain a consistent and asymptotically normal estimator (of which there are plenty in the case of iid or even uncorrelated noise).

Thanks for any help you can provide!

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.