Related papers: On random coefficient INAR(1) processes
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…
In this paper, we introduce a new first-order mixture integer-valued threshold autoregressive process, based on the binomial and negative binomial thinning operators. Basic probabilistic and statistical properties of this model are…
Models characterized by autoregressive structure and random coefficients are powerful tools for the analysis of high-frequency, high-dimensional and volatile time series. The available literature on such models is broad, but also sectorial,…
We consider an RCAR$(p)$ process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give the correct asymptotic behavior and some simulations come to…
Consider $n$ i.i.d. random elements on $C[0,1]$. We show that, under an appropriate strengthening of the domain of attraction condition, natural estimators of the extreme-value index, which is now a continuous function, and the normalizing…
The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the driven noise is also given by a first-order…
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…
This note constitutes a corrigendum to the article of Azomahou, JSPI, 139:2581-2597. The aggregation of isotropic four nearest neighbors autoregressive models on the lattice, with random coefficient, is investigated. The spectral density of…
We investigate the estimation of parameters in the random coefficient autoregressive model. We consider a nonstationary RCA process and show that the innovation variance parameter cannot be estimated by the quasi-maximum likelihood method.…
We discuss joint temporal and contemporaneous aggregation of $N$ independent copies of AR(1) process with random-coefficient $a \in [0,1)$ when $N$ and time scale $n$ increase at different rate. Assuming that $a$ has a density, regularly…
We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. The model considered in the paper is very general as we do not impose any…
Uniformly valid inference for cointegrated vector autoregressive processes has so far proven difficult due to certain discontinuities arising in the asymptotic distribution of the least squares estimator. We extend asymptotic results from…
Many studies on biological and soft matter systems report the joint presence of a linear mean-squared displacement and a non-Gaussian probability density exhibiting, for instance, exponential or stretched-Gaussian tails. This phenomenon is…
INAR (integer-valued autoregressive) and INGARCH (integer-valued GARCH) models are among the most commonly employed approaches for count time series modelling, but have been studied in largely distinct strands of literature. In this paper,…
Recursive stochastic algorithms have gained significant attention in the recent past due to data driven applications. Examples include stochastic gradient descent for solving large-scale optimization problems and empirical dynamic…
The univariate integer-valued time series has been extensively studied, but literature on multivariate integer-valued time series models is quite limited and the complex correlation structure among the multivariate integer-valued time…
We characterize recurrence and transience of nonnegative multivariate autoregressive processes of order one with random contractive coefficient matrix, of subcritical multitype Galton-Watson branching processes in random environment with…
In this paper we introduce a modified version of a gaussian standard first-order autoregressive process where we allow for a dependence structure between the state variable $Y_{t-1}$ and the next innovation $\xi_t$. We call this model…
In this paper the integer-valued autoregressive model of order one, contaminated with additive or innovational outliers is studied in some detail. Moreover, parameter estimation is also addressed. Supposing that the time points of the…
A nearly unstable sequence of stationary spatial autoregressive processes is investigated, when the sum of the absolute values of the autoregressive coefficients tends to one. It is shown that after an appropriate norming the least squares…