Asymptotic properties of CLS estimators in the Poisson AR(1) model
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Publication:2483882
DOI10.1016/j.spl.2005.03.006zbMath1065.62032OpenAlexW2078325264MaRDI QIDQ2483882
R. Keith Freeland, B. P. M. McCabe
Publication date: 1 August 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.03.006
Maximum likelihoodPoisson autoregressionBirth and death processAsymptotic varianceConditional least squaresYule-WalkerQueuing process
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Cites Work
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- On conditional least squares estimation for stochastic processes
- Some asymptotic properties in INAR(1) processes with Poisson marginals
- Some ARMA models for dependent sequences of poisson counts
- Quasi-Likelihood and Optimal Estimation, Correspondent Paper
- Time series models with univariate margins in the convolution-closed infinitely divisible class
- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
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