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• W2019092675 abstract "We discuss joint temporal and contemporaneous aggregation of N independent copies of AR(1) process with random-coefficient a∈[0,1) when N and time scale n increase at different rate. Assuming that a has a density, regularly varying at a=1 with exponent −1<β<1, different joint limits of normalized aggregated partial sums are shown to exist when N1/(1+β)/n tends to (i) ∞, (ii) 0, (iii) 0<μ<∞. The limit process arising under (iii) admits a Poisson integral representation on (0,∞)×C(R) and enjoys ‘intermediate’ properties between fractional Brownian motion limit in (i) and sub-Gaussian limit in (ii)." @default.
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• W2019092675 date "2014-02-01" @default.
• W2019092675 modified "2023-09-24" @default.
• W2019092675 title "Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes" @default.
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• W2019092675 doi "https://doi.org/10.1016/j.spa.2013.10.004" @default.
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