Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models

DOI10.1111/j.1467-9868.2008.00687.xzbMath1248.62147MaRDI QIDQ2920277

Ramon van den Akker, Feike C. Drost, Bas J. M. Werker

Publication date: 16 October 2012

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2008.00687.x

zbMATH Keywords

count data; semiparametric efficiency; nonparametric maximum likelihood; infinite dimensional \(Z\)-estimator

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62H12: Estimation in multivariate analysis

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

62G05: Nonparametric estimation

Related Items

Convolution-closed models for count time series with applications, Thinning-based models in the analysis of integer-valued time series: a review, A new method of testing for a unit root in the INAR(1) model based on variances, Efficient estimation in (PINAR(1)) model: semiparametric case, The first-order random coefficient integer valued autoregressive process with the occasional level shift random noise based on dual empirical likelihood, Maximum likelihood estimation of the DDRCINAR(p) model, Some estimation and forecasting procedures in Possion-Lindley INAR(1) process, Bootstrap-based bias corrections for INAR count time series, EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS, SEMIPARAMETRIC INDEPENDENCE TESTING FOR TIME SERIES OF COUNTS AND THE ROLE OF THE SUPPORT, A long-memory integer-valued time series model, INARFIMA, for financial application, Inference for Random Coefficient INAR(1) Process Based on Frequency Domain Analysis, Some recent progress in count time series, Bootstrapping INAR models, Penalized estimation of flexible hidden Markov models for time series of counts, Bootstrapping sample quantiles of discrete data, Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal, Efficient estimation in periodic INAR(\(p\)) model: nonparametric innovation distributions case, Inference for INAR\((p)\) processes with signed generalized power series thinning operator, Bayesian nonparametric forecasting for INAR models, Regularized estimation in GINAR(\(p\)) process, Some recent theory for autoregressive count time series, Comments on: Some recent theory for autoregressive count time series, On MCMC sampling in self-exciting integer-valued threshold time series models, Flexible INAR(1) models for equidispersed, underdispersed or overdispersed counts, Modelling heavy-tailedness in count time series, Model-based INAR bootstrap for forecasting INAR\((p)\) models, Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model, First-order mixed integer-valued autoregressive processes with zero-inflated generalized power series innovations, Random rounded integer-valued autoregressive conditional heteroskedastic process, Bias-correction of some estimators in the INAR(1) process, Poisson QMLE of Count Time Series Models, Testing for parameter constancy in non-Gaussian time series, Generalized RCINAR(1) Process with Signed Thinning Operator, Generalized RCINAR(p) Process with Signed Thinning Operator, Local asymptotic normality and efficient estimation for INAR(p) models

Cites Work

• Unnamed Item
• Unnamed Item
• The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
• Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data
• Mixing: Properties and examples
• Invariance principles for absolutely regular empirical processes
• Adaptive estimation in time-series models
• On adaptive estimation in stationary ARMA processes
• Quasi-likelihood models and optimal inference
• An INAR(1) negative multinomial regression model for longitudinal count data
• Asymptotic properties of CLS estimators in the Poisson AR(1) model
• Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes
• Analysing State Dependences in Emotional Experiences by Dynamic Count Data Models
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Local asymptotic normality and efficient estimation for INAR(p) models
• Asymptotic Statistics
• Estimation for an M/G/  queue with incomplete information
• Change-Point Analysis of Neuron Spike Train Data
• Analysis of low count time series data by poisson autoregression
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Efficiency. of infinite dimensional M‐ estimators
• Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
• Fluctuation limit of branching processes with immigration and estimation of the means