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

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

zbMATH Keywords

delta method; INAR process; autocovariance distribution; Yule--Walker estimation

Mathematics Subject Classification ID

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
• 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