Asymptotic behavior of unstable INAR(\(p\)) processes (Q550155)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Asymptotic behavior of unstable INAR(\(p\)) processes
scientific article

    Statements

    Asymptotic behavior of unstable INAR(\(p\)) processes (English)
    0 references
    0 references
    0 references
    0 references
    8 July 2011
    0 references
    The authors investigate the asymptotic properties of integer-valued autoregressive model \(INAR(p)\) determined by the equation \[ X_k=\alpha_1\circ X_{k-1}+\cdots+\alpha_p\circ X_{k-p}+\varepsilon_k,k\in\mathbb N, \] where \(\alpha\circ X=\sum_{j=1}^X\xi_j\) if \(X>0\), \(\alpha\circ X=0\) if \(X>0\), \(\xi_j,\;j\in\mathbb N\), are i.i.d. Bernoulli random variables with mean \(\alpha\in[0,1]\), \(\varepsilon_k\) are i.i.d. non-negative integer-valued random variables with the mean \(\mu_{\varepsilon}\), and \(\alpha_1,\dots,\alpha_p\in[0,1]\). Under the assumption that the second moment of the innovation \(\varepsilon_k\) is finite the authors proved that the sequence of appropriately scaled random step functions \(X^n_t=X_{[nt]}/n\), \(t\in\mathbb R_+\), \(n\in\mathbb N\), formed from an unstable \(INAR(p)\) process (\(\alpha_1+\cdots+\alpha_p=1\)) converges weakly towards a squared Bessel process determined by the stochastic differential equation \(dX_t=\left( \mu_{\varepsilon}dt+\sqrt{\sigma^2_{\alpha}X_t^+}dW_t \right)/\varphi'(1)\), \(X_0=0\), \(t\in\mathbb R_+\), where \(\varphi'(1)=\alpha_1+2\alpha_2+\cdots+p\alpha_p>0\), \(\sigma^2_{\alpha}=\alpha_1(1-\alpha_1)+2\alpha_2+\cdots+p\alpha_p(1-\alpha_p)\), \(W_t,\;t\in\mathbb R_+\), is a standard Wiener process. This limit process is a continuous branching process also known as square-root process or Cox-Ingersoll-Ross process. This asymptotic behavior of unstable \(INAR(p)\) models is quite different from that of familiar (real-valued) unstable autoregressive processes of order \(p\) (\(AR(p)\) models). An application to Boston armed robberies data is presented.
    0 references
    squared Bessel processes
    0 references
    Cox-Ingersoll-Ross process
    0 references
    Boston armed robberies data set
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references