Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation
نویسندگان
چکیده
منابع مشابه
On random coefficient INAR(1) processes
The random coefficient integer-valued autoregressive process was introduced by Zheng, Basawa, and Datta in [55]. In this paper we study the asymptotic behavior of this model (in particular, weak limits of extreme values and the growth rate of partial sums) in the case where the additive term in the underlying random linear recursion belongs to the domain of attraction of a stable law. MSC2000: ...
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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...
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ژورنال
عنوان ژورنال: Advances in Difference Equations
سال: 2014
ISSN: 1687-1847
DOI: 10.1186/1687-1847-2014-99