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<p>We consider random coefficient INAR(1) processes with a strongly dependent latent random coefficient process. It is shown that, in spite of its conditional Markovian structure, the unconditional process exhibits long-range dependence. Short-term prediction and estimation of parameters involved in the prediction are considered. Asymptotic rates of convergence are derived.</p>

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On random coefficient INAR processes with long memory

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年1月24日

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  • Jan Beran,
  • Frieder Droullier

摘要

We consider random coefficient INAR(1) processes with a strongly dependent latent random coefficient process. It is shown that, in spite of its conditional Markovian structure, the unconditional process exhibits long-range dependence. Short-term prediction and estimation of parameters involved in the prediction are considered. Asymptotic rates of convergence are derived.