Local asymptotic normality and efficient estimation for INAR(p) models

DOI10.1111/J.1467-9892.2008.00581.XzbMATH Open1199.62007OpenAlexW3121481552MaRDI QIDQ3552850FDOQ3552850

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

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://research.tilburguniversity.edu/en/publications/95ec06ea-005b-4c08-a2e6-f5901d66e640

Recommendations

• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes
• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Local asymptotic normality and efficient estimation for multivariate \(\mathrm{GINAR}(p)\) models

zbMATH Keywords

count datainteger-valued time seriesinformation loss structure.

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Asymptotic Statistics
• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• Analysis of low count time series data by poisson autoregression
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Title not available (Why is that?)
• Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
• GENERALIZED INTEGER-VALUED AUTOREGRESSION
• Efficient order selection algorithms for integer-valued ARMA processes
• Title not available (Why is that?)
• The existence of moments for stationary Markov chains
• Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data
• Heterogeneous INAR(1) model with application to car insurance
• Analysing State Dependences in Emotional Experiences by Dynamic Count Data Models
• Note on integer-valued bilinear time series models
• Title not available (Why is that?)

Cited In (23)

• Efficient estimation in periodic INAR(\(p\)) model: nonparametric innovation distributions case
• Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2
• Noise-indicator nonnegative integer-valued autoregressive time series of the first order
• Locally asymptotically efficient estimation for parametric PINAR(p) models
• On strongly dependent zero-inflated INAR(1) processes
• Asymptotic behavior of unstable INAR(\(p\)) processes
• Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes
• On the time-reversibility of integer-valued autoregressive processes of general order
• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• Quantile regression for thinning-based INAR(1) models of time series of counts
• Efficient estimation in semiparametric self-exciting threshold INAR processes
• Maximum likelihood estimation of higher-order integer-valued autoregressive processes
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• Local asymptotic normality and efficient estimation for multivariate \(\mathrm{GINAR}(p)\) models
• Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model
• Generalized RCINAR(1) process with signed thinning operator
• Efficient estimation in periodic INAR(1) model: parametric case
• Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal
• Efficient estimation in (PINAR(1)) model: semiparametric case
• Innovational Outliers in INAR(1) Models
• The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
• Generalized RCINAR(p) Process with Signed Thinning Operator
• Maximum likelihood estimation of the DDRCINAR(p) model

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