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Nonstationary INAR(1) Process with qth‐Order Autocorrelation Innovation

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  • 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.

Suggested Citation

  • Kaizhi Yu & Hong Zou & Daimin Shi, 2013. "Nonstationary INAR(1) Process with qth‐Order Autocorrelation Innovation," Abstract and Applied Analysis, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:951312
    DOI: 10.1155/2013/951312
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    References listed on IDEAS

    as
    1. Bu, Ruijun & McCabe, Brendan, 2008. "Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach," International Journal of Forecasting, Elsevier, vol. 24(1), pages 151-162.
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    5. M. Kachour & J. F. Yao, 2009. "First‐order rounded integer‐valued autoregressive (RINAR(1)) process," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 417-448, July.
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    7. repec:tiu:tiutis:6b90fe6f-4de9-4192-9f4d-99ae9220af75 is not listed on IDEAS
    8. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Other publications TiSEM ac0494ae-7a32-43ca-b5b4-d, Tilburg University, School of Economics and Management.
    9. Haitao Zheng & Ishwar V. Basawa & Somnath Datta, 2006. "Inference for pth‐order random coefficient integer‐valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 411-440, May.
    Full references (including those not matched with items on IDEAS)

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