Asymptotic inference for nearly unstable INAR(1) models

DOI10.1239/jap/1059060900zbMath1042.62080OpenAlexW2091193747MaRDI QIDQ4462701

Márton Ispány, Gyula Pap, Martien C. A. Van Zuijlen

Publication date: 18 May 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2066/19028

zbMATH Keywords

Galton-Watson processstable modelsINAR(1) modelnearly unstable modelsconditional least-squares estimatordiscrete-time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items (18)

Large and moderate deviations for the total population in the nearly unstable INAR(1) model ⋮ Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2 ⋮ Nonstationary INAR(1) process with \(q\)th-order autocorrelation innovation ⋮ The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models ⋮ Fluctuations and precise deviations of cumulative INAR time series ⋮ Asymptotic behaviour of the portmanteau tests in an integer-valued AR model ⋮ Asymptotic distributions for weighted estimators of the offspring mean in a branching process ⋮ Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes ⋮ Non-linear INAR(1) processes under an alternative geometric thinning operator ⋮ Conditional least squares estimation for the SINAR(1, 1) process ⋮ Nearly unstable integer‐valued ARCH process and unit root testing ⋮ A fluctuation limit theorem for a critical branching process with dependent immigration ⋮ Statistical inference of 2-type critical Galton-Watson processes with immigration ⋮ Asymptotic distribution of the CLSE in a critical process with immigration ⋮ Asymptotic behavior of unstable INAR(\(p\)) processes ⋮ Functional limit theorems for critical processes with immigration ⋮ Innovational Outliers in INAR(1) Models ⋮ Asymptotically Normal Estimators for the Offspring Mean in the Branching Process with Immigration

Cites Work

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• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• The Multivariate Ginar(p) Process
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets

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