On random coefficient INAR(1) processes

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: ...

Dynamic Random Coefficient Models A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

In this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions. JEL codes: C22

Constant Coefficient Tests for Random Coefficient Regression

Random coe cient regression models have been applied in di erent elds and they constitute a unifying setup for many statistical problems. The nonparametric study of this model started with Beran and Hall (1992) and it has become a fruitful framework. In this paper we propose and study statistics for testing a basic hypothesis concerning this model: the constancy of coe cients. The asymptotic be...

Random Coefficient Models ∗ Nicholas

Notes on Random Processes

Unfortunately, there’s no simple formula for this integral. Instead, tables or numerical approximation routines are used to evaluate it. The normal distribution has a characteristic bell shaped pdf. The center of the bell is at x = μ, and the parameter σ controls the width of the bell. The particular case in which μ = 0, and σ = 1 is referred to as the standard normal random variable. The lette...