Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes

作者：Nedenyi Fanni^*; Pap Gyula

来源：Statistics & Probability Letters, 2016, 118: 16-23.

DOI：10.1016/j.spl.2016.06.003

• Random coefficient AR(1) processes
• Random coefficient INAR(1) processes
• Temporal aggregation
• Contemporaneous aggregation
• Idiosyncratic innovations

By temporal and contemporaneous aggregation, doubly indexed partial sums of independent copies of random coefficient AR(1) or INAR(1) processes are studied. Iterated limits of the appropriately centered and scaled aggregated partial sums are shown to exist. The paper completes the results of Pilipauskaite and Surgailis (2014) and Barczy et al. (2015).

• 出版日期2016-11