Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes

2016/01/18 by Fanni K. Nedényi, Fanni Nedényi, Nedényi, Fanni +2
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Stochastic processes and statistical mechanics #math.PR #msc:60F05 #msc:60G15 #msc:60J80

paper · pdf · doi:10.48550/arxiv.1601.04679

arxiv created 2016/01/18 · arxiv updated 2016/01/19

Abstract

We discuss joint temporal and contemporaneous aggregation of N independent copies of strictly stationary AR(1) and INteger-valued AutoRegressive processes of order 1 (INAR(1)) with random coefficient α∈ (0, 1) and idiosyncratic innovations. Assuming that α has a density function of the form ψ(x) (1 - x)^β, x ∈ (0, 1), with lim_{x\uparrow 1} ψ(x) = ψ₁ ∈ (0, ∞), different Brownian limit processes of appropriately centered and scaled aggregated partial sums are shown to exist in case β=1 when taking first the limit as N → ∞ and then the time scale n → ∞, or vice versa. This paper completes the one of Pilipauskaitė and Surgailis (2014), and Barczy, Nedényi and Pap (2015), where the iterated limits are given for every other possible value of the parameter β for the two types of models.

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