most citedThe asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

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math.ST2009★ 22 cited

The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

Feike C. Drost, Ramon van den Akker, Bas J. M. Werker

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'…