Asymptotic behavior of CLS estimators for unstable INAR(2) models
| Autor: | Barczy, Matyas, Ispany, Marton, Pap, Gyula |
|---|---|
| Rok vydání: | 2012 |
| Předmět: | |
| Zdroj: | Scandinavian Journal of Statistics 41 (4), 2014, 866-892 |
| Druh dokumentu: | Working Paper |
| Popis: | In this paper the asymptotic behavior of the conditional least squares estimators of the autoregressive parameters $(\alpha,\beta)$, of the stability parameter $\varrho := \alpha + \beta$, and of the mean $\mu$ of the innovation $\vare_k$, $k \in \NN$, for an unstable integer-valued autoregressive process $X_k = \alpha \circ X_{k-1} + \beta \circ X_{k-2} + \vare_k$, $k \in \NN$, is described. The limit distributions and the scaling factors are different according to the following three cases: (i) decomposable, (ii) indecomposable but not positively regular, and (iii) positively regular models. Comment: 67 pages; the CLS estimator of the mean of the innovation has been added |
| Databáze: | arXiv |
| Externí odkaz: |
|