Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2

DOI10.1111/sjos.12069zbMath1305.62321OpenAlexW1511052787MaRDI QIDQ2932764

Mátyás Barczy, Márton Ispány, Gyula Pap

Publication date: 9 December 2014

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

Full work available at URL: http://hdl.handle.net/2437/165202

zbMATH Keywords

Bessel processmartingaleconditional least squares estimatorbranching process with immigrationunstable \(\mathrm{INAR}(p)\) process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (8)

Statistical inference for critical continuous state and continuous time branching processes with immigration ⋮ Moment formulas for multitype continuous state and continuous time branching process with immigration ⋮ Asymptotic behaviour of the portmanteau tests in an integer-valued AR model ⋮ Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes ⋮ Nearly unstable integer‐valued ARCH process and unit root testing ⋮ Statistical inference of 2-type critical Galton-Watson processes with immigration ⋮ Thinning-based models in the analysis of integer-valued time series: a review ⋮ Statistical inference for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration

Cites Work

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• GENERALIZED INTEGER-VALUED AUTOREGRESSION
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• A Limit Theorem for Multidimensional Galton-Watson Processes
• Additional Limit Theorems for Indecomposable Multidimensional Galton-Watson Processes

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