The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

Autor:	Drost, Feike C., Akker, Ramon van den, Werker, Bas J. M.
Rok vydání:	2009
Předmět:	Mathematics - Statistics Theory
Zdroj:	Bernoulli 2009, Vol. 15, No. 2, 297-324
Druh dokumentu:	Working Paper
DOI:	10.3150/08-BEJ153
Popis:	This paper considers non-negative integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this `near unit root' situation. The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment is Poissonian. To illustrate the statistical consequences we discuss efficient estimation of the autoregression parameter and efficient testing for a unit root. Comment: Published in at http://dx.doi.org/10.3150/08-BEJ153 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/0906.2080 Zobrazit plný text záznamu View this record from Arxiv