Asymptotic behavior of unstable INAR(p) processes

DOI10.1016/J.SPA.2010.11.005zbMATH Open1241.62122arXiv0908.4560OpenAlexW2061687923MaRDI QIDQ550155FDOQ550155

Authors: Mátyás Barczy, Gyula Pap, Márton Ispány 

Publication date: 8 July 2011

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

Abstract: In this paper the asymptotic behavior of an unstable integer-valued autoregressive model of order p (INAR(p)) is described. Under a natural assumption it is proved that the sequence of appropriately scaled random step functions formed from an unstable INAR(p) process converges weakly towards a squared Bessel process. We note that this limit behavior is quite different from that of familiar unstable autoregressive processes of order p. An application for Boston armed robberies data set is presented.

Full work available at URL: https://arxiv.org/abs/0908.4560

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zbMATH Keywords

Cox-Ingersoll-Ross processsquared Bessel processesBoston armed robberies data set

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25) Limit theorems in probability theory (60F99) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cited In (28)

• Yamada-Watanabe results for stochastic differential equations with jumps
• Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2
• Demand forecasting of perishable farm products using support vector machine
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