The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
arXiv:0906.2080 · doi:10.3150/08-BEJ153
Abstract
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.
Published in at http://dx.doi.org/10.3150/08-BEJ153 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)