The asymptotic behavior of INAR(p) models

DOI10.1080/03610926.2012.694544MaRDI QIDQ2921853zbMATH OpenOpenAlexFDO

Authors Mingtian Tang, Yunyan Wang

Publication date 14 October 2014

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2012.694544

zbMATH Keywords

geometric ergodicityinteger-valued autoregressive modelMarkov chainsnonlinear time seriesrandom environmentrandom time delay

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Processes in random environments (60K37) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• First-order random coefficient integer-valued autoregressive processes
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Inference for pth-order random coefficient integer-valued autoregressive processes
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Probability, Random Processes, and Ergodic Properties
• Time series: theory and methods.

Cited in

(8)

• scientific article; zbMATH DE number 7234887 (Why is no real title available?)
• The limit behavior of a class of time series models with random delay
• Geometric ergodicity of GARCH models with random delays
• scientific article; zbMATH DE number 5368559 (Why is no real title available?)
• On the global behaviour of the LPA model when c_PA = 0
• A mixed INAR(p) model
• On nonrecurrence of nonlinear random time delay autoregressive models under random environment
• Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation

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