Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued phenomena that evolve in time.The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the nonnegative...

This paper considers integer-valued autoregressive processes where the autoregression parameter is close to unity.We consider the asymptotics of this `near unit root' situation.The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment is...

It is well-known that financial data sets exhibit conditional heteroskedasticity.GARCH type models are often used to model this phenomenon. Since the distribution of the rescaled innovations is generally far from a normal distribution, a semiparametric approach is advisable.Several publications...