Asymptotic behavior of CLS estimators for unstable INAR(2) models

Details Asymptotic behavior of CLS estimators for unstable INAR(2) models Asymptotic behavior of CLS estimators for unstable INAR(2) models

2012-02-08

arxiv.org/abs/1202.1617v1

Mathematics

Statistics Theory

60 pages

Scientific paper

In this paper the asymptotic behavior of the conditional least squares estimators of the autoregressive parameters $(\alpha, \beta)$ and of the stability parameter $\varrho := \alpha + \beta$ for an unstable integer-valued autoregressive process $X_k = \alpha \circ X_{k-1} + \beta \circ X_{k-2} + \varepsilon_k$, $k\in\NN$, is described. The limit distributions and the scaling factors are different according to the following three cases: (i) decomposable, (ii) indecomposable but not positively regular, and (iii) positively regular models.

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