Pilipauskaitė, Vytautė; Surgailis, Donatas - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 1011-1035
We discuss joint temporal and contemporaneous aggregation of N independent copies of AR(1) process with random-coefficient a∈[0,1) when N and time scale n increase at different rate. Assuming that a has a density, regularly varying at a=1 with exponent −1β1, different joint limits of...
