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

Kaizhi Yu | Zendy; Hong Zou | Zendy; Daimin Shi | Zendy

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

Author(s) -

Kaizhi Yu,

Hong Zou,

Daimin Shi

Publication year - 2013

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2013/951312

Subject(s) - autoregressive model , mathematics , autocorrelation , estimator , limit (mathematics) , monte carlo method , moving average model , statistics , statistical physics , mathematical analysis , time series , autoregressive integrated moving average , physics

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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