Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes

DOI10.1016/J.SPL.2016.06.003zbMath1347.60014arXiv1601.04679OpenAlexW2248849945MaRDI QIDQ312070

Gyula Pap, Fanni K. Nedényi

Publication date: 13 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.04679

zbMATH Keywords

weak convergencerandom coefficientstemporal aggregationcontemporaneous aggregationAR(1) processesINAR(1) processesiterated scaling limits

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items (4)

Estimating Long Memory in Panel Random‐Coefficient AR(1) Data ⋮ Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations ⋮ On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations ⋮ Statistical inference for the new INAR(2) models with random coefficient

Cites Work

• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Discrete analogues of self-decomposability and stability
• Long memory relationships and the aggregation of dynamic models
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
• Limit Theorems for Aggregated Linear Processes
• Aggregation of a random-coefficient ar(1) process with infinite variance and idiosyncratic innovations
• Heavy-Tail Phenomena

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