The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

DOI10.3150/08-BEJ153zbMath1200.62105arXiv0906.2080OpenAlexW2013565123MaRDI QIDQ605860

Feike C. Drost, Ramon van den Akker, Bas J. M. Werker

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2080

zbMATH Keywords

local-to-unity asymptoticsnear unit rootbranching process with immigrationinteger-valued time seriesPoisson limit experiment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models ⋮ 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 ⋮ On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect ⋮ 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 ⋮ Asymptotic behavior of unstable INAR(\(p\)) processes ⋮ ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES

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