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
收藏
页码：750 / 765
页数：16
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