Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/323287 
Year of Publication: 
2025
Citation: 
[Journal:] AStA Advances in Statistical Analysis [ISSN:] 1863-818X [Volume:] 109 [Issue:] 2 [Publisher:] Springer Berlin Heidelberg [Place:] Berlin/Heidelberg [Year:] 2025 [Pages:] 281-311
Publisher: 
Springer Berlin Heidelberg, Berlin/Heidelberg
Abstract: 
Abstract 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.
Subjects: 
Integer valued time series
INAR process
Long memory
Long-range dependence
Random coefficient process
Gaussian subordination
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version
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