Asymptotic behavior of unstable INAR(p) processes

被引：27
|
作者：
Barczy, M. [1 ]
Ispany, M. [1 ]
Pap, G. [2 ]
机构：
[1] Univ Debrecen, Fac Informat, H-4010 Debrecen, Hungary
[2] Univ Szeged, Bolyai Inst, H-6720 Szeged, Hungary
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 03期
基金：
匈牙利科学研究基金会;
关键词：
Unstable INAR(p) processes; Squared Bessel processes; Boston armed robberies data set; VALUED AR(1) MODELS; TIME-SERIES; BRANCHING-PROCESS; IMMIGRATION; INFERENCE;
D O I：
10.1016/j.spa.2010.11.005
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：583 / 608
页数：26
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