Estimation for random coefficient integer-valued autoregressive model under random environment

DOI10.1186/S13662-019-2436-2MaRDI QIDQ2142010zbMATH OpenOpenAlexWikidataFDO

Authors Yan Cui, Yunyan Wang

Publication date 25 May 2022

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-019-2436-2

zbMATH Keywords

integer-valued autoregressivenegative binomial thinningrandom coefficientrandom environmentYule-Walker estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A bivariate INAR(1) time series model with geometric marginals
• A combined geometric \(INAR(p)\) model based on negative binomial thinning
• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation
• Asymptotic properties of CLS estimators in the Poisson AR(1) model
• Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• First-order random coefficient integer-valued autoregressive processes
• Generalized random environment INAR models of higher order
• Higher-order moments, cumulants and spectral densities of the NGINAR(1) process
• scientific article; zbMATH DE number 7142727 (Why is no real title available?)
• Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal
• Random environment integer-valued autoregressive process
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL

Cited in

(10)

• Random environment integer-valued autoregressive process
• Conditional least squares estimation of the parameters of higher order random environment INAR models
• Random environment threshold integer-valued autoregressive process and parameter estimation
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• On random coefficient INAR processes with long memory
• On nonrecurrence of nonlinear random time delay autoregressive models under random environment
• Double random environment binomial thinning INAR(1) process with Poisson or geometric marginal
• Parameter-controlled regime-switching INAR(1) model in a random environment with modified negative binomial thinning and innovation-free dynamics
• Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation
• Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal

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