Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes
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Publication:2507712
DOI10.1016/j.spl.2006.04.008zbMath1097.62089MaRDI QIDQ2507712
Maria Eduarda Silva, Isabel Silva
Publication date: 5 October 2006
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2006.04.008
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M09: Non-Markovian processes: estimation
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Cites Work
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- Asymptotic Statistics
- The Multivariate Ginar(p) Process
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- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
- Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
- Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products