Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes

DOI10.1016/J.SPA.2013.10.004zbMATH Open1400.62194arXiv1310.5257OpenAlexW2019092675MaRDI QIDQ2434752FDOQ2434752

Authors: Vytautė Pilipauskaitė, Donatas Surgailis 

Publication date: 7 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We discuss joint temporal and contemporaneous aggregation of $N$ independent copies of AR(1) process with random-coefficient $ain[0,1)$ when $N$ and time scale $n$ increase at different rate. Assuming that $a$ has a density, regularly varying at $a=1$ with exponent $$, different joint limits of normalized aggregated partial sums are shown to exist when $$ tends to (i) $infty$, (ii) 0, (iii) $0<mu<infty$. The limit process arising under (iii) admits a Poisson integral representation on $(0,infty)imesC(mathbbR)$ and enjoys "intermediate" properties between fractional Brownian motion limit in (i) and sub-Gaussian limit in (ii).

Full work available at URL: https://arxiv.org/abs/1310.5257

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zbMATH Keywords

aggregationlong memoryintermediate scalingrandom-coefficient AR(1) processasymptotic self-similarityPoisson stochastic integral

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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Cited In (31)

• Joint aggregation of random-coefficient AR(1) processes with common innovations
• Scaling limits of linear random fields on \(\mathbb{Z}^2\) with general dependence axis
• Discrete-time trawl processes
• On aggregation of subcritical Galton-Watson branching processes with regularly varying immigration
• Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\)
• Temporal aggregation of lognormal AR processes
• Scaling transition for nonlinear random fields with long-range dependence
• Scaling limits of nonlinear functions of random grain model, with application to Burgers' equation
• Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\)
• Dilatively semistable stochastic processes
• Estimating long memory in panel random-coefficient AR(1) data
• Sample covariances of random-coefficient AR(1) panel model
• On aggregation of multitype Galton-Watson branching processes with immigration
• RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES
• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
• Local scaling limits of Lévy driven fractional random fields
• Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes
• Intermittency and multiscaling in limit theorems
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Aggregation of autoregressive random fields and anisotropic long-range dependence
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
• On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations
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Uses Software

• longmemo

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