Asymptotic behaviour of estimators of the parameters of nearly unstable INAR(1) models

被引：0

作者：

Ispány, M ^{[1
]}

Pap, G ^{[1
]}

van Zuijlen, MCA ^{[1
]}

机构：

[1] Univ Debrecen, Inst Math & Informat, H-4012 Debrecen, Hungary

来源：

FOUNDATIONS OF STATISTICAL INFERENCE | 2003年

关键词：

D O I：

暂无

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 type (INAR(1)) processes is investigated, where the autoregressive type coefficients converge to 1. It is shown that the limiting distribution of the joint conditional least squares estimators for this coefficient and for the mean of the innovation is normal. Consequences for sequences of Galton-Watson branching processes with unobservable immigration, where the mean of the offspring distribution converges to 1 (which is the critical value), are discussed.

引用

页码：195 / 206

页数：12

共 17 条

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