The Asymptotic Behavior of INAR (p) Models

DOI10.1080/03610926.2012.694544zbMath1319.60184OpenAlexW2067261927MaRDI QIDQ2921853

Mingtian Tang, Yunyan Wang

Publication date: 14 October 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.694544

zbMATH Keywords

Markov chainsrandom environmentnonlinear time seriesgeometric ergodicityrandom time delayinteger-valued autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Processes in random environments (60K37) Probabilistic measure theory (60A10)

Cites Work

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• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Time series: theory and methods.
• Generalized autoregressive conditional heteroscedasticity
• First-order random coefficient integer-valued autoregressive processes
• Probability, Random Processes, and Ergodic Properties
• Inference for pth-order random coefficient integer-valued autoregressive processes
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS

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