Nonstationary INAR(1) Process with th-Order Autocorrelation Innovation
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 regressio...
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2013/951312 |
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| _version_ | 1832553544164573184 |
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| author | Kaizhi Yu Hong Zou Daimin Shi |
| author_facet | Kaizhi Yu Hong Zou Daimin Shi |
| author_sort | Kaizhi Yu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-5b1456806e034601ade311b71cf9afb1 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-5b1456806e034601ade311b71cf9afb12025-02-03T05:53:49ZengWileyAbstract and Applied Analysis1085-33751687-04092013-01-01201310.1155/2013/951312951312Nonstationary INAR(1) Process with th-Order Autocorrelation InnovationKaizhi Yu0Hong Zou1Daimin Shi2Statistics School, Southwestern University of Finance and Economics, Chengdu, Sichuan 611130, ChinaSchool of Economics, Southwestern University of Finance and Economics, Chengdu, Sichuan 611130, ChinaStatistics School, Southwestern University of Finance and Economics, Chengdu, Sichuan 611130, ChinaThis 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.http://dx.doi.org/10.1155/2013/951312 |
| spellingShingle | Kaizhi Yu Hong Zou Daimin Shi Nonstationary INAR(1) Process with th-Order Autocorrelation Innovation Abstract and Applied Analysis |
| title | Nonstationary INAR(1) Process with th-Order Autocorrelation Innovation |
| title_full | Nonstationary INAR(1) Process with th-Order Autocorrelation Innovation |
| title_fullStr | Nonstationary INAR(1) Process with th-Order Autocorrelation Innovation |
| title_full_unstemmed | Nonstationary INAR(1) Process with th-Order Autocorrelation Innovation |
| title_short | Nonstationary INAR(1) Process with th-Order Autocorrelation Innovation |
| title_sort | nonstationary inar 1 process with th order autocorrelation innovation |
| url | http://dx.doi.org/10.1155/2013/951312 |
| work_keys_str_mv | AT kaizhiyu nonstationaryinar1processwiththorderautocorrelationinnovation AT hongzou nonstationaryinar1processwiththorderautocorrelationinnovation AT daiminshi nonstationaryinar1processwiththorderautocorrelationinnovation |