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- 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.
Fluctuations and precise deviations of cumulative INAR time series
Giovanni Luca Torrisi
2023
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- 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.File in questo prodotto:
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