Asymptotic behavior of unstable INAR( p ) processes

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 s...

Full description

Saved in:
Bibliographic Details
Published in:Stochastic processes and their applications 2011-03, Vol.121 (3), p.583-608
Main Authors: Barczy, M., Ispány, M., Pap, G.
Format: Article
Language:English
Subjects:
Boston armed robberies data set
Exact sciences and technology
Mathematics
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Squared Bessel processes
Stochastic analysis
Stochastic processes
Unstable INAR( [formula omitted]) processes
Unstable INAR(p) processes Squared Bessel processes Boston armed robberies data set
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:0304-4149
1879-209X
DOI:10.1016/j.spa.2010.11.005