Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes

DOI10.1016/j.spl.2016.01.018zbMath1419.62253MaRDI QIDQ273793

Sebastian Schweer, Christian H. Weiß

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.01.018

zbMATH Keywords

asymptotic properties; bias corrections; count-data time series; moment estimators; Poisson INAR(1) model; Poisson INARCH(1) model

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

62M05: Markov processes: estimation; hidden Markov models

Related Items

Bootstrap-based bias corrections for INAR count time series, CLAR(1) point forecasting under estimation uncertainty, Higher autocumulant functions for ADCINAR(1) process and bias-correction of some estimators, Bootstrapping INAR models, Testing the dispersion structure of count time series using Pearson residuals, Model diagnostics for Poisson INARMA processes using bivariate dispersion indexes, Testing the compounding structure of the CP-INARCH model, Bias-correction of some estimators in the INAR(1) process

Uses Software

• Fahrmeir

Cites Work

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