Asymptotic behavior of unstable INAR(p) processes

M. Barczy, M. Ispány and G. Pap

Stochastic Processes and their Applications, 2011, vol. 121, issue 3, 583-608

Abstract: In this paper the asymptotic behavior of an unstable integer-valued autoregressive model of order p (INAR(p)) is described. Under a natural assumption it is proved that the sequence of appropriately scaled random step functions formed from an unstable INAR(p) process converges weakly towards a squared Bessel process. We note that this limit behavior is quite different from that of familiar unstable autoregressive processes of order p. An application for Boston armed robberies data set is presented.

Keywords: Unstable; INAR(p); processes; Squared; Bessel; processes; Boston; armed; robberies; data; set (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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