Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
From MaRDI portal
Publication:2434752
Abstract: We discuss joint temporal and contemporaneous aggregation of independent copies of AR(1) process with random-coefficient when and time scale increase at different rate. Assuming that has a density, regularly varying at with exponent , different joint limits of normalized aggregated partial sums are shown to exist when tends to (i) , (ii) 0, (iii) . The limit process arising under (iii) admits a Poisson integral representation on and enjoys "intermediate" properties between fractional Brownian motion limit in (i) and sub-Gaussian limit in (ii).
Recommendations
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
- Joint aggregation of random-coefficient AR(1) processes with common innovations
- Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
- scientific article; zbMATH DE number 3992721
- Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes
- Temporal aggregation of lognormal AR processes
- TEMPORAL AGGREGATION IN THE ARIMA PROCESS
- Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.
- Temporal aggregation in a periodically integrated autoregressive process
Cites work
- scientific article; zbMATH DE number 5363773 (Why is no real title available?)
- scientific article; zbMATH DE number 3731074 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- A Poisson bridge between fractional Brownian motion and stable Lévy motion
- Aggregation and memory of models of changing volatility
- Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
- Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Contemporaneous aggregation of linear dynamic models in large economies
- Convergence of scaled renewal processes and a packet arrival model
- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- Limiting fractal random processes in heavy-tailed systems
- Long memory relationships and the aggregation of dynamic models
- Long-memory processes. Probabilistic properties and statistical methods
- Random coefficient autoregression, regime switching and long memory
- Renewal regime switching and stable limit laws
- Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
- Self-similarity and Lamperti convergence for families of stochastic processes
- Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed
- Spectral representations of infinitely divisible processes
- Superposition of Ornstein-Uhlenbeck type processes
- The on-off network traffic model under intermediate scaling
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(31)- RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES
- Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\)
- On aggregation of subcritical Galton-Watson branching processes with regularly varying immigration
- On aggregation of multitype Galton-Watson branching processes with immigration
- Estimating long memory in panel random-coefficient AR(1) data
- On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations
- Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
- 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
- Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
- An integral representation of dilatively stable processes with independent increments
- Intermittency and multiscaling in limit theorems
- Dilatively semistable stochastic processes
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\)
- Local scaling limits of Lévy driven fractional random fields
- Aggregation of network traffic and anisotropic scaling of random fields
- Aggregation of autoregressive random fields and anisotropic long-range dependence
- Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes
- Scaling transition for nonlinear random fields with long-range dependence
- Anisotropic scaling limits of long-range dependent random fields
- Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
- Dilatively stable stochastic processes and aggregate similarity
- Scaling limits of nonlinear functions of random grain model, with application to Burgers' equation
- Convergence of partial sum processes to stable processes with application for aggregation of branching processes
- Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
- Sample covariances of random-coefficient AR(1) panel model
- Temporal aggregation of lognormal AR processes
- Discrete-time trawl processes
- Scaling transition for long-range dependent Gaussian random fields
This page was built for publication: Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2434752)
