Article ID Journal Published Year Pages File Type
1155750 Stochastic Processes and their Applications 2011 26 Pages PDF
Abstract

In this paper the asymptotic behavior of an unstable integer-valued autoregressive model of order pp (INAR(pp)) is described. Under a natural assumption it is proved that the sequence of appropriately scaled random step functions formed from an unstable INAR(pp) 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 pp. An application for Boston armed robberies data set is presented.

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Physical Sciences and Engineering Mathematics Mathematics (General)
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