Joint aggregation of random-coefficient AR(1) processes with common innovations

DOI10.1016/J.SPL.2015.03.002zbMath1325.62171OpenAlexW2060189931MaRDI QIDQ893913

Vytautė Pilipauskaitė, Donatas Surgailis

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.03.002

zbMATH Keywords

aggregationintermediate scalingrandom-coefficient AR(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (8)

Scaling transition for nonlinear random fields with long-range dependence ⋮ Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\) ⋮ Aggregation of network traffic and anisotropic scaling of random fields ⋮ Estimating Long Memory in Panel Random‐Coefficient AR(1) Data ⋮ Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\) ⋮ Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations ⋮ Sample covariances of random-coefficient AR(1) panel model ⋮ Anisotropic scaling limits of long-range dependent random fields

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