Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation

DOI10.1080/01621459.2014.983230zbMath1373.62453OpenAlexW2167799090MaRDI QIDQ5367436

Konstantinos Fokianos, Xanthi Pedeli, Anthony C. Davison

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2014.983230

zbMATH Keywords

saddlepoint approximationmaximum likelihood estimationtime seriesPoisson distributionnegative binomial distributionINAR(\(p\)) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Point estimation (62F10)

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