Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2

DOI10.1111/sjos.12069zbMath1305.62321MaRDI QIDQ2932764

Gyula Pap, Mátyás Barczy, Márton Ispány

Publication date: 9 December 2014

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2437/165202

zbMATH Keywords

Bessel process; martingale; conditional least squares estimator; branching process with immigration; unstable \(\mathrm{INAR}(p)\) process

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)