Article ID Journal Published Year Pages File Type
7549353 Statistics & Probability Letters 2015 10 Pages PDF
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 −1/2<β<0, different joint limits of normalized aggregated partial sums are shown to exist when N1/(1+β)/n tends to (i) ∞, (ii) 0, (iii) 0<μ<∞. The paper extends the results in Pilipauskaitė 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
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