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Recurrence Properties of Autoregressive Processes with Super-Heavy-Tailed Innovations
Recurrence Properties Autoregressive Processes Super-Heavy-Tailed Innovations
2015/7/6
This paper studies recurrence properties of autoregressive (AR) processes with `super-heavy-tailed' innovations. Specifically, we study the case where the innovations are distributed, roughly speaking...
Empirical likelihood for first-order random coefficient integer-valued autoregressive processes
INAR model Conditional least square Asymptotic distribution Hypothesis Testing Maximum empirical likelihood
2011/11/5
This paper studies the empirical likelihood method for a first-order random coefficient integer-valued autoregressive model. The limiting distribution of the log empirical likelihood ratio statistic i...
Limit theorems for bifurcating autoregressive processes with missing data
Limit theorems bifurcating autoregressive processes missing data
2011/1/4
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes when some of the data are missing. We model the process of observed d...
Limit theorems for bifurcating autoregressive processes with missing data
bifurcating autoregressive process missing data
2011/1/20
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes when some of the data are missing.
Limit theorems for bifurcating autoregressive processes with missing data
Probability (math.PR) Statistics Theory (math.ST)
2010/12/17
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes when some of the data are missing. We model the process of observed d...
On Hartman's law of iterated logarithm for explosive Gaussian autoregressive processes
Autoregressive Gaussian process law of iterated logarithm maximum likelihood estimation
2009/9/21
A law of iterated logarithm is established lot the maximum
likelihood estimator of the unknown parameter of the explosive
Gaussian autoregressive process. Outside the Gaussian case, we show
that th...