Fluctuations and precise deviations of cumulative INAR time series

Matthias Kirchner and Giovanni Luca Torrisi

Stochastic Processes and their Applications, 2023, vol. 164, issue C, 1-32

Abstract: In this paper, we study fluctuations and precise deviations of cumulative INAR time series, both in a non-stationary and in a stationary regime. The theoretical results are based on the recent mod-ϕ convergence theory as presented in Féray et al., 2016. We apply our findings to the construction of approximate confidence intervals for model parameters and to quantile calculation in a risk management context.

Keywords: Time series; Central limit theorems; Precise deviations; Branching processes (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2023.07.002

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