Efficient method of moments estimators for integer time series models
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Cites work
- Absolute regularity and ergodicity of Poisson count processes
- An integer-valued pth-order autoregressive structure (INAR(p)) process
- Analysis of low count time series data by poisson autoregression
- Basic properties of strong mixing conditions. A survey and some open questions
- Discrete analogues of self-decomposability and stability
- Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
- Encompassing and indirect inference
- Estimation in conditional first order autoregression with discrete support
- Estimation in integer-valued moving average models
- Estimation of mis-specified long memory models
- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
- Goodness-of-fit for a branching process with immigration using sample partial autocorrelations
- Integer-valued moving average (INMA) process
- Maximum likelihood estimation of higher-order integer-valued autoregressive processes
- Model Checking via Parametric Bootstraps in Time Series Analysis
- Nonlinear Regression with Dependent Observations
- On Accelerated Random Search
- On conditional least squares estimation for stochastic processes
- Serial dependence and regression of Poisson INARMA models
- Simulated Moments Estimation of Markov Models of Asset Prices
- Some ARMA models for dependent sequences of poisson counts
- THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
- Time series models with univariate margins in the convolution-closed infinitely divisible class
Cited in
(13)- Estimating time series models for count data using efficient importance sampling
- Noise-indicator nonnegative integer-valued autoregressive time series of the first order
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Improving the estimation and predictions of small time series models
- A threshold mixed count time series model: estimation and application
- Estimation in integer-valued moving average models
- scientific article; zbMATH DE number 1984179 (Why is no real title available?)
- Some estimation and forecasting procedures in Poisson-Lindley INAR(1) process
- Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods
- A Time-Series Model for Underdispersed or Overdispersed Counts
- Identifying changes in the distribution of income from higher-order moments with an application to Australia
- Efficient estimation in periodic INAR(\(p\)) model: nonparametric innovation distributions case
- Efficient parameter estimation for independent and INAR(1) negative binomial samples
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