Inference in binomial AR(1) models

DOI10.1016/J.SPL.2010.09.003zbMath1202.62114OpenAlexW1977620951MaRDI QIDQ613196

Yunwei Cui, Robert B. Lund

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.09.003

zbMATH Keywords

renewal processesautoregressionstationary series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (16)

SUPERPOSITIONED STATIONARY COUNT TIME SERIES ⋮ Binomial AR(1) processes: moments, cumulants, and estimation ⋮ Bivariate binomial autoregressive models ⋮ Parameter estimation for binomial \(\mathrm{AR}(1)\) models with applications in finance and industry ⋮ Extended binomial AR(1) processes with generalized binomial thinning operator ⋮ Binomial AR(1) processes with innovational outliers ⋮ BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING ⋮ Statistical analysis of the non-stationary binomial AR(1) model with change point ⋮ Analysis of zero-and-one inflated bounded count time series with applications to climate and crime data ⋮ A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application ⋮ Statistical inference for the covariates-driven binomial AR(1) process ⋮ Two classes of dynamic binomial integer-valued ARCH models ⋮ Thinning-based models in the analysis of integer-valued time series: a review ⋮ A new INAR(1) process with bounded support for counts showing equidispersion, underdispersion and overdispersion ⋮ A geometric time series model with dependent Bernoulli counting series ⋮ Goodness-of-fit tests for binomial AR(1) processes

Uses Software

• astsa

Cites Work

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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• On conditional least squares estimation for stochastic processes
• Regression theory for categorical time series
• First-order rounded integer-valued autoregressive (RINAR(1)) process
• Monitoring correlated processes with binomial marginals
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• A New Class of Autoregressive Models for Time Series of Binomial Counts
• A new look at time series of counts

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