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Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes

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  • Nedényi, Fanni
  • Pap, Gyula

Abstract

By temporal and contemporaneous aggregation, doubly indexed partial sums of independent copies of random coefficient AR(1) or INAR(1) processes are studied. Iterated limits of the appropriately centered and scaled aggregated partial sums are shown to exist. The paper completes the results of Pilipauskaitė and Surgailis (2014) and Barczy et al. (2015).

Suggested Citation

  • Nedényi, Fanni & Pap, Gyula, 2016. "Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 16-23.
    • Handle: RePEc:eee:stapro:v:118:y:2016:i:c:p:16-23
    DOI: 10.1016/j.spl.2016.06.003
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    References listed on IDEAS

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    1. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    2. Pilipauskaitė, Vytautė & Surgailis, Donatas, 2014. "Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes," Stochastic Processes and their Applications, Elsevier, vol. 124(2), pages 1011-1035.
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    Cited by:

    1. Remigijus Leipus & Anne Philippe & Vytautė Pilipauskaitė & Donatas Surgailis, 2020. "Estimating Long Memory in Panel Random‐Coefficient AR(1) Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 520-535, July.

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