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

DOI10.1111/J.1467-9892.2008.00590.XzbMATH Open1198.62090OpenAlexW2113578553MaRDI QIDQ3552860FDOQ3552860

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

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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)

Cites Work

• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Title not available (Why is that?)
• Analysis of low count time series data by poisson autoregression
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• On conditional least squares estimation for stochastic processes
• Some ARMA models for dependent sequences of poisson counts
• Time series models with univariate margins in the convolution-closed infinitely divisible class
• Local asymptotic normality and efficient estimation for INAR(p) models
• Title not available (Why is that?)

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
• A new INAR model based on Poisson-BE2 innovations
• Some estimation and forecasting procedures in Poisson-Lindley INAR(1) process
• 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
• Comparison of estimation and prediction methods for a zero-inflated geometric INAR(1) process with random coefficients
• Model-based INAR bootstrap for forecasting INAR\((p)\) models
• Modelling heavy-tailedness in count time series
• Convolution-closed models for count time series with applications
• Bootstrapping INAR models
• The multilateral spatial integer-valued process of order 1
• Intervention analysis for low-count time series with applications in public health
• First-order mixed integer-valued autoregressive processes with zero-inflated generalized power series innovations
• A Poisson INAR(1) model with serially dependent innovations
• A maximum likelihood and regenerative bootstrap approach for estimation and forecasting of INAR( p ) processes with zero-inflated innovations
• Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal
• 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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