Limiting mixture distributions for AR(1) model indexed by a branching process

Abstract

First order autoregressive model indexed by a supercritical Galton-Watson branching process is discussed. Limiting distributions of the least squares estimates are derived both for the stationary and explosive cases. It is shown that a certain random variable inherent in the branching process is acting as a mixing variable in limiting mixture distributions. In particular, with explosive Gaussian case, we obtain a mixture of Cauchy distributions rather than Cauchy. (C) 2010 Elsevier B.V. All rights reserved.