Asymptotic inference for nearly unstable INAR(1) models

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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...

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Asymptotic Behaviour of Estimators of the Parameters of Nearly Unstable INAR(1) Models

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ژورنال

عنوان ژورنال: Journal of Applied Probability

سال: 2003

ISSN: 0021-9002,1475-6072

DOI: 10.1239/jap/1059060900