Joint aggregation of random-coefficient AR(1) processes with common innovations
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Cites work
- scientific article; zbMATH DE number 5363773 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- A Poisson bridge between fractional Brownian motion and stable Lévy motion
- Aggregation and memory of models of changing volatility
- Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
- Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Aggregation of the random coefficient GLARCH(1,1) process
- Contemporaneous aggregation of linear dynamic models in large economies
- Convergence of scaled renewal processes and a packet arrival model
- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
- Large sample inference for long memory processes
- Long memory relationships and the aggregation of dynamic models
- On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\)
- Stochastic differential equations. An introduction with applications.
- The on-off network traffic model under intermediate scaling
Cited in
(15)- Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\)
- Estimating long memory in panel random-coefficient AR(1) data
- On simultaneous limits for aggregation of stationary randomized INAR(1) processes with Poisson innovations
- Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\)
- Aggregation of network traffic and anisotropic scaling of random fields
- Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes
- Scaling transition for nonlinear random fields with long-range dependence
- Anisotropic scaling limits of long-range dependent 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
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
- Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
- Sample covariances of random-coefficient AR(1) panel model
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