{"title":"长记忆随机系数流过程研究","authors":"Jan Beran, Frieder Droullier","doi":"10.1007/s10182-025-00523-8","DOIUrl":null,"url":null,"abstract":"<div><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></div>","PeriodicalId":55446,"journal":{"name":"Asta-Advances in Statistical Analysis","volume":"109 2","pages":"281 - 311"},"PeriodicalIF":1.4000,"publicationDate":"2025-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10182-025-00523-8.pdf","citationCount":"0","resultStr":"{\"title\":\"On random coefficient INAR processes with long memory\",\"authors\":\"Jan Beran, Frieder Droullier\",\"doi\":\"10.1007/s10182-025-00523-8\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><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></div>\",\"PeriodicalId\":55446,\"journal\":{\"name\":\"Asta-Advances in Statistical Analysis\",\"volume\":\"109 2\",\"pages\":\"281 - 311\"},\"PeriodicalIF\":1.4000,\"publicationDate\":\"2025-01-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://link.springer.com/content/pdf/10.1007/s10182-025-00523-8.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asta-Advances in Statistical Analysis\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10182-025-00523-8\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asta-Advances in Statistical Analysis","FirstCategoryId":"100","ListUrlMain":"https://link.springer.com/article/10.1007/s10182-025-00523-8","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
On random coefficient INAR processes with long memory
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.
期刊介绍:
AStA - Advances in Statistical Analysis, a journal of the German Statistical Society, is published quarterly and presents original contributions on statistical methods and applications and review articles.