Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2

MATYAS BARCZY; MARTON ISPANY; GYULA PAP

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Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2

机译：2阶不稳定整数值自回归模型的条件最小二乘估计的渐近行为

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In this paper, the asymptotic behavior of the conditional least squares estimators of the autoregressive parameters, of the mean of the innovations, and of the stability parameter for unstable integer-valued autoregressive processes of order 2 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.

机译：在本文中，描述了阶数为2的不稳定整数值自回归过程的自回归参数，创新平均值和稳定性参数的条件最小二乘估计的渐近行为。极限分布和比例因子根据以下三种情况而有所不同：（ⅰ）可分解，（ⅱ）不分解但不是正规则，并且（ⅲ）正规则模型。

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《Scandinavian journal of statistics》 |2014年第4期|866-892|共27页
作者
MATYAS BARCZY; MARTON ISPANY; GYULA PAP;
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作者单位

University of Debrecen, Faculty of Informatics, Department of Applied Mathematics and Probability, H-4010 Debrecen, Pf. 12, Hungary;

Faculty of Informatics, University of Debrecen;

Bolyai Institute, University of Szeged;

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关键词
branching process with immigration; Bessel process; conditional least squares estimator; martingale; unstable INAR(p) process;

机译：移民的分支过程;贝塞尔法有条件最小二乘估计器;鞅;不稳定的INAR（p）过程;

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Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2

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