Bootstrapping INAR models

DOI10.3150/18-BEJ1057zbMath1466.62387MaRDI QIDQ61791

Christian H. Weiß, Carsten Jentsch, Christian H. Weiß, Carsten Jentsch

Publication date: 1 August 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1560326448

zbMATH Keywords

semiparametric estimationtime series of countsparametric bootstrapbootstrap consistencyfunctions of generalized meansINAR residualssemiparametric bootstrap

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (12)

Novel goodness-of-fit tests for binomial count time series ⋮ Asymptotic behaviour of the portmanteau tests in an integer-valued AR model ⋮ Goodness‐of‐fit tests for Poisson count time series based on the Stein–Chen identity ⋮ Bootstrap-based bias corrections for INAR count time series ⋮ Bootstrap for integer‐valued GARCH(p, q) processes ⋮ Testing the dispersion structure of count time series using Pearson residuals ⋮ Bootstrapping INAR models ⋮ spINAR ⋮ Model-based INAR bootstrap for forecasting INAR\((p)\) models ⋮ Modelling and monitoring of INAR(1) process with geometrically inflated Poisson innovations ⋮ Efficient accounting for estimation uncertainty in coherent forecasting of count processes ⋮ Flexible INAR(1) models for equidispersed, underdispersed or overdispersed counts

Cites Work

• Bootstrapping INAR models
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• Univariate Discrete Distributions
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