On random coefficient INAR processes with long memory

Jan Beran () and Frieder Droullier
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Jan Beran: University of Konstanz
Frieder Droullier: University of Konstanz

AStA Advances in Statistical Analysis, 2025, vol. 109, issue 2, No 3, 311 pages

Abstract: Abstract We consider random coefficient INAR(1) processes with a strongly dependent latent random coefficient process. It is shown that, in spite of its conditional Markovian structure, the unconditional process exhibits long-range dependence. Short-term prediction and estimation of parameters involved in the prediction are considered. Asymptotic rates of convergence are derived.

Keywords: Integer valued time series; INAR process; Long memory; Long-range dependence; Random coefficient process; Gaussian subordination (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10182-025-00523-8

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