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  • Search: subject:"Poisson stochastic integral"
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Aggregation 1 Asymptotic self-similarity 1 Intermediate scaling 1 Long memory 1 Poisson stochastic integral 1 Random-coefficient AR(1) process 1
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Pilipauskaitė, Vytautė 1 Surgailis, Donatas 1
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Stochastic Processes and their Applications 1
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Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
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...
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