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Abstract and Applied Analysis | Vol.2013, Issue. | 2017-05-29 | Pages

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

Kaizhi Yu,Hong Zou,Daimin Shi

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.

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

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Keywords

qthorder integervalued random walk process sums limit distributions auxiliary regression process conditional least squares estimators monte carlo simulations autoregressive coefficient estimators

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Kaizhi Yu,Hong Zou,Daimin Shi,.Nonstationary INAR(1) Process with th-Order Autocorrelation Innovation. 2013 (),.

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