Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes

DOI10.1016/j.spl.2006.04.008zbMath1097.62089OpenAlexW2111929466MaRDI 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

zbMATH Keywords

delta methodINAR processautocovariance distributionYule--Walker estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items

Estimation in an Integer-Valued Autoregressive Process with Negative Binomial Marginals (NBINAR(1)), An INAR model with discrete Laplace marginal distributions, Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models, Zero-Inflated NGINAR(1) process, The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models, Poisson–geometric INAR(1) process for modeling count time series with overdispersion, Bootstrap-based bias corrections for INAR count time series, A new skew integer valued time series process, On Shifted Geometric INAR(1) Models Based on Geometric Counting Series, Noise-indicator nonnegative integer-valued autoregressive time series of the first order, Bootstrapping INAR models, Thinning operations for modeling time series of counts -- a survey, A First-Order Spatial Integer-Valued Autoregressive SINAR(1, 1) Model

Cites Work

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• Discrete analogues of self-decomposability and stability
• Some asymptotic properties in INAR(1) processes with Poisson marginals
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Some ARMA models for dependent sequences of poisson counts
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• Asymptotic Statistics
• The Multivariate Ginar(p) Process
• Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
• 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