Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations

DOI10.1016/J.JMAA.2017.02.031MaRDI QIDQ517971zbMATH OpenOpenAlexFDO

Authors Mátyás Barczy, Gyula Pap, Fanni Nedényi

Publication date 28 March 2017

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.05149

zbMATH Keywords

stable distributionfractional Brownian motionlong memoryrandomized INAR(1) processtemporal and contemporaneous aggregationLévy process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We discuss joint temporal and contemporaneous aggregation of $N$ independent copies of strictly stationary INteger-valued AutoRegressive processes of order 1 (INAR(1)) with random coefficient $alphain(0,1)$ and with idiosyncratic Poisson innovations. Assuming that $alpha$ has a density function of the form $$, $xin(0,1)$, with $li{m}_{xuparrow1}psi(x)=ps{i}_{1}in(0,infty)$, different limits of appropriately centered and scaled aggregated partial sums are shown to exist for $$, $$, $$ or $$, when taking first the limit as $Noinfty$ and then the time scale $noinfty$, or vice versa. In fact, we give a partial solution to an open problem of Pilipauskaite and Surgailis (2014) by replacing the random-coefficient AR(1) process with a certain randomized INAR(1) process.

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Cited in

(5)

• On aggregation of subcritical Galton-Watson branching processes with regularly varying immigration
• On aggregation of multitype Galton-Watson branching processes with immigration
• On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations
• Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes
• Scaling limits of nonlinear functions of random grain model, with application to Burgers' equation

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