Parameter estimation and diagnostic tests for INMA(1) processes

DOI10.1007/S11749-019-00653-7MaRDI QIDQ2177732zbMATH OpenOpenAlexFDO

Authors Boris Aleksandrov, Christian H. Weiß

Publication date 6 May 2020

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-019-00653-7

zbMATH Keywords

autocorrelation structureconfidence regionscount time seriesdiagnostic testsINMA(1) modeloverdispersion

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Parametric hypothesis testing (62F03) Point estimation (62F10) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An Introduction to Discrete‐Valued Time Series
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Discrete analogues of self-decomposability and stability
• Discrete-time risk models on time series for count random variables
• Estimation in integer-valued moving average models
• Extremes of integer-valued moving average models with exponential type tails
• Extremes of integer-valued moving average models with regularly varying tails
• Extremes of integer-valued moving average sequences
• First order threshold integer-valued moving average processes
• Inference For Autocorrelations Under Weak Assumptions
• Integer-valued moving average (INMA) process
• Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
• Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations
• Risk models based on time series for count random variables
• Serial dependence and regression of Poisson INARMA models
• Some ARMA models for dependent sequences of poisson counts
• Some Limit Theorems for Stationary Processes
• Testing for zero inflation and overdispersion in INAR(1) models
• The combined Poisson INMA\((q)\) models for time series of counts

Cited in

(8)

• Diagnostic checking in linear processes with infinite variance
• Testing the dispersion structure of count time series using Pearson residuals
• Model diagnostics for Poisson INARMA processes using bivariate dispersion indexes
• Inference for bivariate integer-valued moving average models based on binomial thinning operation
• A review of INMA integer-valued model class, application and further development
• Goodness‐of‐fit tests for Poisson count time series based on the Stein–Chen identity
• Space-time Integer-valued ARMA modelling for time series of counts
• Goodness-of-fit testing in bivariate count time series based on a bivariate dispersion index

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