The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

Details The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

2009-06-11

arxiv.org/abs/0906.2080v1

Bernoulli 2009, Vol. 15, No. 2, 297-324

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/08-BEJ153 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/08-BEJ153

This paper considers non-negative integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this `near unit root' situation. The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment is Poissonian. To illustrate the statistical consequences we discuss efficient estimation of the autoregression parameter and efficient testing for a unit root.

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