Maximum likelihood estimation of higher-order integer-valued autoregressive processes

DOI10.1111/J.1467-9892.2008.00590.XMaRDI QIDQ3552860zbMATH OpenOpenAlexFDO

Authors Ruijun Bu, Kaddour Hadri, Brendan McCabe

Publication date 22 April 2010

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00590.x

zbMATH Keywords

time series of countsasymptotic relative efficiencyPoisson autoregressive modelsINAR(p) model

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• scientific article; zbMATH DE number 770225 (Why is no real title available?)
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Analysis of low count time series data by poisson autoregression
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Local asymptotic normality and efficient estimation for INAR(p) models
• On conditional least squares estimation for stochastic processes
• Some ARMA models for dependent sequences of poisson counts
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Time series models with univariate margins in the convolution-closed infinitely divisible class

Cited in

(33)

• A new method of testing for a unit root in the INAR(1) model based on variances
• Diagnostic checks for integer-valued autoregressive models using expected residuals
• Useful models for time series of counts or simply wrong ones?
• Parameter estimation for INAR processes based on high-order statistics
• Bootstrap-based bias corrections for INAR count time series
• Efficient method of moments estimators for integer time series models
• Some recent progress in count time series
• Score statistics for testing serial dependence in count data
• Some estimation and forecasting procedures in Poisson-Lindley INAR(1) process
• A new INAR model based on Poisson-BE2 innovations
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Efficient accounting for estimation uncertainty in coherent forecasting of count processes
• Local asymptotic normality and efficient estimation for multivariate \(\mathrm{GINAR}(p)\) models
• INAR approximation of bivariate linear birth and death process
• Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
• Bayesian analysis of the p-order integer-valued AR process with zero-inflated Poisson innovations
• Exact Bayesian inference via data augmentation
• Model-based INAR bootstrap for forecasting INAR\((p)\) models
• Bootstrapping INAR models
• Comparison of estimation and prediction methods for a zero-inflated geometric INAR(1) process with random coefficients
• Modelling heavy-tailedness in count time series
• Convolution-closed models for count time series with applications
• Intervention analysis for low-count time series with applications in public health
• The multilateral spatial integer-valued process of order 1
• A Poisson INAR(1) model with serially dependent innovations
• First-order mixed integer-valued autoregressive processes with zero-inflated generalized power series innovations
• Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal
• A maximum likelihood and regenerative bootstrap approach for estimation and forecasting of INAR( p ) processes with zero-inflated innovations
• Thinning-based models in the analysis of integer-valued time series: a review
• A first-order binomial-mixed Poisson integer-valued autoregressive model with serially dependent innovations
• A threshold mixed count time series model: estimation and application
• The unilateral spatial autogressive process for the regular lattice two-dimensional spatial discrete data
• Maximum likelihood estimation of the DDRCINAR(p) model

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