Title of article
Asymptotic inference for nearly unstable INAR(1) models.
Author/Authors
Ispany، M. نويسنده , , Pap، G. نويسنده , , Zuijlen، M. C. A. van نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
-74
From page
75
To page
0
Abstract
A sequence of first-order integer-valued autoregressive (INAR(1)) processes is investigated, where the autoregressive-type coefficient converges to 1. It is shown that the limiting distribution of the conditional least squares estimator for this coefficient is normal and the rate of convergence is n3/2. Nearly critical Galton-Watson processes with unobservable immigration are also discussed.
Keywords
Discrete-time series , stable and nearly unstable models , conditional least-squares estimator , asymptotic distribution , INAR(1) model , Galton-Watson process
Journal title
JOURNAL OF APPLIED PROBABILITY
Serial Year
2003
Journal title
JOURNAL OF APPLIED PROBABILITY
Record number
78404
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