Kirchner, Matthias; Torrisi, Giovanni Luca (2023). Fluctuations and precise deviations of cumulative INAR time series. Stochastic Processes and their Applications, 164, pp. 1-32. 10.1016/j.spa.2023.07.002
![[img]](https://phrepo.phbern.ch/style/images/fileicons/text.png) |
Text
fluctuations_and_precise_deviations_of_cumulative_inar_time_series.pdf - Published Version Restricted to registered users only Available under License Publisher holds Copyright. Download (1MB) | Request a copy |
In this paper, we study fluctuations and precise deviations of cumulative INAR time series, both in a non-stationary and in a stationary regime. The theoretical results are based on the recent mod-φ convergence theory as presented in Féray et al., 2016. We apply our findings to the construction of approximate confidence intervals for model parameters and to quantile calculation in a risk management context.
Item Type: |
Journal Article (Original Article) |
|---|---|
PHBern Contributor: |
Kirchner, Matthias |
ISSN: |
0304-4149 |
Language: |
English |
Submitter: |
Matthias Kirchner |
Date Deposited: |
07 Aug 2025 13:01 |
Last Modified: |
09 Aug 2025 10:46 |
Publisher DOI: |
10.1016/j.spa.2023.07.002 |
Uncontrolled Keywords: |
Time series, Central limit theorems, Precise deviations, Branching processes |
PHBern DOI: |
10.57694/7795 |
URI: |
https://phrepo.phbern.ch/id/eprint/7795 |
Actions (login required)
 |
Edit item |