Asymptotic inference for 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 کاملTitle : ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR ( p ) PROCESSES
In this paper nearly unstable AR(p) processes (in other words, models with characteristic roots near the unit circle) are studied. Our main aim is to describe the asymptotic behaviour of the least squares estimators of the coefficients. A convergence result is presented for the general complex-valued case. The limit distribution is given by the help of some continuous time AR processes. We appl...
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 inference for an unstable triangular spatial AR model
A spatial autoregressive process is investigated, where the autoregressive coefficients are equal, and their sum is one. It is shown that the limiting distribution of the least squares estimator for this coefficient is normal and, in contrast to the doubly geometric process, the rate of convergence is n−5/4.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2003
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1059060900