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Asymptotic inference for nearly unstable INAR(1) models

Published online by Cambridge University Press:  14 July 2016

M. Ispány*
Affiliation:
University of Debrecen
G. Pap*
Affiliation:
University of Debrecen
M. C. A. van Zuijlen*
Affiliation:
University of Nijmegen
*
Postal address: Institute of Mathematics and Informatics, University of Debrecen, Pf. 12, H-4010 Debrecen, Hungary
Postal address: Institute of Mathematics and Informatics, University of Debrecen, Pf. 12, H-4010 Debrecen, Hungary
Postal address: Department of Mathematics, University of Nijmegen, Toernooiveld 1, 6525 ED Nijmegen, The Netherlands. Email address: [email protected]

Abstract

A sequence of first-order integer-valued autoregressive (INAR(1)) processes is investigated, where the autoregressive-type coefficient converges to 1. It is shown that the limiting distribution of the conditional least squares estimator for this coefficient is normal and the rate of convergence is n3/2. Nearly critical Galton–Watson processes with unobservable immigration are also discussed.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 2003 

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