On random coefficient INAR(1) processes

2012/04/15 by Zhong Zheng, Zhong, Zheng, Alexander Roitershtein +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Dynamics and Fractals #Probability (math.PR) #Probability and Risk Models

paper · pdf · doi:10.48550/arxiv.1204.3316

openalex publication_date 2012/04/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The random coefficient integer-valued autoregressive process was introduced by Zheng, Basawa, and Datta. In this paper we study the asymptotic behavior of this model (in particular, weak limits of extreme values and the growth rate of partial sums) in the case where the additive term in the underlying random linear recursion belongs to the domain of attraction of a stable law.

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