Two-step conditional least squares estimation in ADCINAR(1) process, revisited

DOI10.1016/J.SPL.2023.110003MaRDI QIDQ6152262FDOQ6152262

Authors: Xiaoqiang Zeng, Yoshihide Kakizawa 

Publication date: 13 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

count time seriesADCINAR(1) processtwo-step conditional least squares estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Cites Work

• Discrete analogues of self-decomposability and stability
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Asymptotic properties of CLS estimators in the Poisson AR(1) model
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• An Introduction to Discrete‐Valued Time Series
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Time series: theory and methods
• Dependent central limit theorems and invariance principles
• On conditional least squares estimation for stochastic processes
• Thinning operations for modeling time series of counts -- a survey
• Tensor methods in statistics
• A geometric time series model with dependent Bernoulli counting series
• A geometric time-series model with an alternative dependent Bernoulli counting series
• Some asymptotic properties in INAR(1) processes with Poisson marginals
• Testing for Poisson arrivals in INAR(1) processes
• Higher autocumulant functions for ADCINAR(1) process and bias-correction of some estimators

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