Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2

被引：9

作者：

Barczy, Matyas ^{[1
]}

Ispany, Marton ^{[1
]}

Pap, Gyula ^{[2
]}

机构：

[1] Univ Debrecen, Fac Informat, H-4010 Debrecen, Hungary

[2] Univ Szeged, Bolyai Inst, Szeged, Hungary

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 2014年 / 41卷 / 04期

关键词：

branching process with immigration; Bessel process; conditional least squares estimator; martingale; unstable INAR(p) process; INFERENCE;

D O I：

10.1111/sjos.12069

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：

In this paper, the asymptotic behavior of the conditional least squares estimators of the autoregressive parameters, of the mean of the innovations, and of the stability parameter for unstable integer-valued autoregressive processes of order 2 is described. The limit distributions and the scaling factors are different according to the following three cases: (i) decomposable, (ii) indecomposable but not positively regular, and (iii) positively regular models.

引用

页码：866 / 892

页数：27

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