On random coefficient INAR processes with long memory

Abstract We consider random coefficient INAR(1) processes with a strongly dependent latent random coefficient process. It is shown that, in spite of its conditional Markovian structure, the unconditional process exhibits long-range dependence. Short-term prediction and estimation of parameters involved in the prediction are considered. Asymptotic rates of convergence are derived.

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Year of publication:	2025
Authors:	Beran, Jan ; Droullier, Frieder
Published in:	AStA Advances in Statistical Analysis. - Berlin/Heidelberg : Springer Berlin Heidelberg, ISSN 1863-818X. - Vol. 109.2025, 2, p. 281-311
Publisher:	Berlin/Heidelberg : Springer Berlin Heidelberg
Subject:	Integer valued time series \| INAR process \| Long memory \| Long-range dependence \| Random coefficient process \| Gaussian subordination

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/s10182-025-00523-8 [DOI] hdl:10419/323287 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10015436490