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Fluctuations and precise deviations of cumulative INAR time series

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  • Kirchner, Matthias
  • Torrisi, Giovanni Luca

Abstract

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.

Suggested Citation

  • Kirchner, Matthias & Torrisi, Giovanni Luca, 2023. "Fluctuations and precise deviations of cumulative INAR time series," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 1-32.
    • Handle: RePEc:eee:spapps:v:164:y:2023:i:c:p:1-32
    DOI: 10.1016/j.spa.2023.07.002
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    References listed on IDEAS

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