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2013 Nonstationary INAR(1) Process with q th-Order Autocorrelation Innovation
Kaizhi Yu, Hong Zou, Daimin Shi
Abstr. Appl. Anal. 2013(SI14): 1-10 (2013). DOI: 10.1155/2013/951312


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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Kaizhi Yu. Hong Zou. Daimin Shi. "Nonstationary INAR(1) Process with q th-Order Autocorrelation Innovation." Abstr. Appl. Anal. 2013 (SI14) 1 - 10, 2013.


Published: 2013
First available in Project Euclid: 26 February 2014

zbMATH: 1280.62109
MathSciNet: MR3045055
Digital Object Identifier: 10.1155/2013/951312

Rights: Copyright © 2013 Hindawi

Vol.2013 • No. SI14 • 2013
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