Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes

We discuss contemporaneous aggregation of independent copies of a triangular array of random-coefficient AR(1) processes with i.i.d. innovations belonging to the domain of attraction of an infinitely divisible law W. The limiting aggregated process is shown to exist, under general assumptions on W a...

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Hauptverfasser:	Philippe, Anne, Puplinskaite, Donata, Surgailis, Donatas
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Statistics Theory Statistics - Theory
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