Efficient estimation in periodic INAR(1) model: parametric case

DOI10.1080/03610918.2018.1510524OpenAlexW2914710304MaRDI QIDQ5088091FDOQ5088091

Authors: Mohamed Sadoun, Mohamed Bentarzi 

Publication date: 4 July 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1510524

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zbMATH Keywords

efficient estimationperiodically correlated integer-valued processmean and second moment periodically stationaryperiodic \((INAR(1))\) model

Mathematics Subject Classification ID

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

Cites Work

• Discrete analogues of self-decomposability and stability
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• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
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• Adaptive estimation of causal periodic autoregressive model
• Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model

Cited In (8)

• Locally asymptotically efficient estimation for parametric PINAR(p) models
• On a periodic SETINAR model
• On a periodic negative binomial SETINAR model
• Existence of a periodic and seasonal INAR process
• QMLE of periodic integer-valued time series models
• On some periodic INARMA(p,q) models
• Efficient estimation in (PINAR(1)) model: semiparametric case
• On periodic integer-valued moving average (INMA (q)) models

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