Abstract and Applied Analysis

Nonstationary INAR(1) Process with q th-Order Autocorrelation Innovation

Kaizhi Yu, Hong Zou, and Daimin Shi

Full-text: Open access

Abstract

This paper is concerned with an integer-valued random walk process with qth-order autocorrelation. Some limit distributions of sums about the nonstationary process are obtained. The limit distribution of conditional least squares estimators of the autoregressive coefficient in an auxiliary regression process is derived. The performance of the autoregressive coefficient estimators is assessed through the Monte Carlo simulations.

Article information

Source
Abstr. Appl. Anal., Volume 2013, Special Issue (2013), Article ID 951312, 10 pages.

Dates
First available in Project Euclid: 26 February 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1393449786

Digital Object Identifier
doi:10.1155/2013/951312

Mathematical Reviews number (MathSciNet)
MR3045055

Zentralblatt MATH identifier
1280.62109

Citation

Yu, Kaizhi; Zou, Hong; Shi, Daimin. Nonstationary INAR(1) Process with $q$ th-Order Autocorrelation Innovation. Abstr. Appl. Anal. 2013, Special Issue (2013), Article ID 951312, 10 pages. doi:10.1155/2013/951312. https://projecteuclid.org/euclid.aaa/1393449786


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