An Asymptotic Analysis of Nearly Unstable Inar (1) Models
نویسندگان
چکیده
منابع مشابه
Asymptotic Inference for Nearly Unstable Inar(1) Models
The first–order integer–valued autoregressive (INAR(1)) process is investigated, where the autoregressive coefficient is close to one. It is shown that the limiting distribution of the conditional least–squares estimator for this coefficient is normal and, in contrast to the familiar AR(1) process, the rate of convergence is n. Finally, the nearly critical Galton–Watson process with unobservabl...
متن کاملAsymptotic Behaviour of Estimators of the Parameters of Nearly Unstable INAR(1) Models
A sequence of first–order integer–valued autoregressive type (INAR(1)) processes is investigated, where the autoregressive type coefficients converge to 1. It is shown that the limiting distribution of the joint conditional least squares estimators for this coefficient and for the mean of the innovation is normal. Consequences for sequences of Galton–Watson branching processes with unobservable...
متن کاملAsymptotic behavior of unstable INAR(p) processes
In this paper the asymptotic behavior of an unstable integer-valued autoregressive model of order p (INAR(p)) is described. Under a natural assumption it is proved that the sequence of appropriately scaled random step functions formed from an unstable INAR(p) process converges weakly towards a squared Bessel process. We note that this limit behavior is quite different from that of familiar unst...
متن کاملPoisson limit of an inhomogeneous nearly critical INAR ( 1 ) model ∗
An inhomogeneous first–order integer–valued autoregressive (INAR(1)) process is investigated, where the autoregressive type coefficient slowly converges to one. It is shown that the process converges weakly to a Poisson or a compound Poisson distribution.
متن کاملOutliers in INAR(1) models
In this paper the integer-valued autoregressive model of order one, contaminated with additive or innovational outliers is studied in some detail, parameter estimation is also addressed. In particular, the asymptotic behavior of conditional least squares (CLS) estimators is analyzed. We suppose that the time points of the outliers are known, but their sizes are unknown. It is proved that the CL...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.905484