Iterated scaling limits for aggregation of random coefficient AR(1) and INAR(1) processes

Fanni Nedényi, Gyula Pap

Published 2016-01-18Version 1

We discuss joint temporal and contemporaneous aggregation of $N$ independent copies of strictly stationary AR(1) and INteger-valued AutoRegressive processes of order 1 (INAR(1)) with random coefficient $\alpha \in (0, 1)$ and idiosyncratic innovations. Assuming that $\alpha$ has a density function of the form $\psi(x) (1 - x)^\beta$, $x \in (0, 1)$, with $\lim_{x\uparrow 1} \psi(x) = \psi_1 \in (0, \infty)$, different Brownian limit processes of appropriately centered and scaled aggregated partial sums are shown to exist in case $\beta=1$ when taking first the limit as $N \to \infty$ and then the time scale $n \to \infty$, or vice versa. This paper completes the one of Pilipauskait\.e and Surgailis (2014), and Barczy, Ned\'enyi and Pap (2015), where the iterated limits are given for every other possible value of the parameter $\beta$ for the two types of models.