Joint aggregation of random-coefficient AR(1) processes with common innovations
DOI10.1016/J.SPL.2015.03.002zbMATH Open1325.62171OpenAlexW2060189931MaRDI QIDQ893913FDOQ893913
Authors: Vytautė Pilipauskaitė, Donatas Surgailis 
Publication date: 23 November 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.03.002
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)
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- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
- Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
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Cited In (15)
- Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\)
- Scaling transition for nonlinear random fields with long-range dependence
- Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\)
- Estimating long memory in panel random-coefficient AR(1) data
- Sample covariances of random-coefficient AR(1) panel model
- Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
- Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes
- Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
- On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations
- Anisotropic scaling limits of long-range dependent random fields
- Aggregation of network traffic and anisotropic scaling of random fields
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
- Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations
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