Asymptotic inference for nearly unstable INAR(1) models

被引：32

作者：

Ispany, M

Pap, G

Van Zuijlen, MCA

机构：

[1] Univ Debreecen, Inst Math & Informat, H-4010 Debrecen, Hungary

[2] Univ Nijmegen, Dept Math, NL-6525 ED Nijmegen, Netherlands

来源：

JOURNAL OF APPLIED PROBABILITY | 2003年 / 40卷 / 03期

关键词：

discrete-time series; INAR(1) model; stable and nearly unstable models; conditional least-squares estimator; asymptotic distribution; Galton-Watson process;

D O I：

10.1239/jap/1059060900

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A sequence of first-order integer-valued autoregressive (INAR(1)) processes is investigated, where the autoregressive-type coefficient converges to 1. It is shown that the limiting distribution of the conditional least squares estimator for this coefficient is normal and the rate of convergence is n(3/2). Nearly critical Galton-Watson processes with unobservable immigration are also discussed.

引用

页码：750 / 765

页数：16

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