Innovational Outliers in INAR(1) Models

DOI10.1080/03610920903259831zbMATH Open1202.62109OpenAlexW2069432721MaRDI QIDQ3064076FDOQ3064076

Authors: Mátyás Barczy, Márton Ispány, Gyula Pap, Manuel G. Scotto, M. Eduarda Silva 

Publication date: 20 December 2010

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903259831

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zbMATH Keywords

strong consistencyconditional least squares estimatorsconditional asymptotic normalityinnovational outliersINAR(1)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Asymptotic Statistics
• Discrete analogues of self-decomposability and stability
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Additive Outlier Detection Via Extreme-Value Theory
• SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
• Title not available (Why is that?)
• Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Additive outliers in INAR(1) models
• First-order rounded integer-valued autoregressive (RINAR(l)) process
• Asymptotic inference for nearly unstable INAR(1) models
• Local asymptotic normality and efficient estimation for INAR(p) models
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS
• The Identification of Multiple Outliers in ARIMA Models
• Effect of correlation on the estimation of a mean in the presence of spurious observations
• Outliers in functional autoregressive time series

Cited In (10)

• A multiplicative thinning‐based integer‐valued GARCH model
• The effects of additive outliers in INAR(1) process and robust estimation
• Modeling time series of counts with a new class of INAR(1) model
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies
• A copula-based bivariate integer-valued autoregressive process with application
• Thinning-based models in the analysis of integer-valued time series: a review
• Tests for time series of counts based on the probability-generating function
• Additive outliers in INAR(1) models
• Binomial AR(1) processes with innovational outliers

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