On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations

DOI10.1515/MS-2021-0051MaRDI QIDQ2054775zbMATH OpenOpenAlexFDO

Authors Mátyás Barczy, Fanni Nedényi, Gyula Pap

Publication date 3 December 2021

Published in Mathematica Slovaca (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.07127

zbMATH Keywords

randomized INAR(1) processtemporal and contemporaneous aggregationsimultaneous limits

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stable stochastic processes (60G52)

Abstract: We investigate 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 $$, $xin(0,1)$, with $$ and $li{m}_{xuparrow1}psi(x)=ps{i}_{1}in(0,infty)$, different limits of appropriately centered and scaled aggregated partial sums are shown to exist for $$ in the so-called simultaneous case, i.e., when both $N$ and the time scale $n$ increase to infinity at a given rate. The case $$ remains open. We also give a new explicit formula for the joint characteristic functions of finite dimensional distributions of the appropriately centered aggregated process in question.

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