Sample covariances of random-coefficient AR(1) panel model

DOI10.1214/19-EJS1632zbMath1440.62336arXiv1810.11204MaRDI QIDQ2008620

Vytautė Pilipauskaitė, Remigijus Leipus, Donatas Surgailis, Anne Philippe

Publication date: 26 November 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.11204

zbMATH Keywords

long memorypanel dataautoregressive modelmixture distributionPoisson random measuresample covariancescaling transitionasymptotic self-similarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Central limit and other weak theorems (60F05) Causal inference from observational studies (62D20)

Related Items (4)

Aggregation of network traffic and anisotropic scaling of random fields ⋮ Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\) ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance ⋮ On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations

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