Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549353 | Statistics & Probability Letters | 2015 | 10 Pages |
Abstract
We discuss joint temporal and contemporaneous aggregation of N copies of stationary random-coefficient AR(1) processes with common i.i.d. standardized innovations, when N and time scale n increase at different rate. Assuming that the random coefficient a has a density, regularly varying at a=1 with exponent â1/2<β<0, different joint limits of normalized aggregated partial sums are shown to exist when N1/(1+β)/n tends to (i) â, (ii) 0, (iii) 0<μ<â. The paper extends the results in PilipauskaitÄ and Surgailis (2014) from the case of idiosyncratic innovations to the case of common innovations.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
VytautÄ PilipauskaitÄ, Donatas Surgailis,