

























This paper considers non-negative 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 Poissonian. To illustrate the statistical consequences we discuss efficient estimation of the autoregression parameter and efficient testing for a unit root.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。