Bootstrapping INAR models

DOI10.3150/18-BEJ1057zbMATH Open1466.62387MaRDI QIDQ61791FDOQ61791

Christian H. Weiß, Christian H. Weiß, Carsten Jentsch, Carsten Jentsch

Publication date: 1 August 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1560326448

Recommendations

• Model-based INAR bootstrap for forecasting INAR\((p)\) models
• Matched bootstrap procedure for INAR(1) processes
• A new bootstrap resampling scheme for INAR processes with trend
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Testing for INAR effects

zbMATH Keywords

bootstrap consistencyfunctions of generalized meansINAR residualsparametric bootstrapsemiparametric bootstrapsemiparametric estimationtime series of counts

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cites Work

• Time series: theory and methods.
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• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• Bootstrap methods: another look at the jackknife
• Sieve bootstrap for time series
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• The jackknife and the bootstrap for general stationary observations
• General restrictions on tail probabilities
• Diagnostic checks for integer-valued autoregressive models using expected residuals
• Validation tests for the innovation distribution in INAR time series models
• Baxter's inequality and sieve bootstrap for random fields
• Asymptotic properties of CLS estimators in the Poisson AR(1) model
• Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes
• Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
• Bootstrapping sample quantiles of discrete data
• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• Asymptotic bootstrap validity for finite markov chains
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• A Goodness‐of‐Fit Test for Integer‐Valued Autoregressive Processes
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Maximum likelihood estimation of higher-order integer-valued autoregressive processes
• Moment bounds for stationary mixing sequences
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• Automatic Block-Length Selection for the Dependent Bootstrap
• An Introduction to Discrete‐Valued Time Series
• Analysis of low count time series data by poisson autoregression
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• Model Checking via Parametric Bootstraps in Time Series Analysis
• Process capability analysis for serially dependent processes of Poisson counts
• Valid Resampling of Higher-Order Statistics Using the Linear Process Bootstrap and Autoregressive Sieve Bootstrap
• Convolution-closed models for count time series with applications
• On the Vector Autoregressive Sieve Bootstrap
• First‐order integer valued AR processes with zero inflated poisson innovations
• BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
• Univariate Discrete Distributions
• Some Limit Theorems for Stationary Processes
• Bootstrapping INAR models
• On the range of validity of the autoregressive sieve bootstrap
• On weak dependence conditions: the case of discrete valued processes
• Bootstrap methods for dependent data: a review
• A non-stationary integer-valued autoregressive model

Cited In (20)

• An empirical likelihood-based unified test for the integer-valued AR(1) models
• Asymptotic behaviour of the portmanteau tests in an integer-valued AR model
• Modelling and monitoring of INAR(1) process with geometrically inflated Poisson innovations
• Bootstrap-based bias corrections for INAR count time series
• On strongly dependent zero-inflated INAR(1) processes
• Change-point analysis for binomial autoregressive model with application to price stability counts
• Novel goodness-of-fit tests for binomial count time series
• Bootstrap for integer‐valued GARCH(p, q) processes
• Efficient accounting for estimation uncertainty in coherent forecasting of count processes
• Modelling and diagnostic tests for Poisson and negative-binomial count time series
• A zero-modified geometric INAR(1) model for analyzing count time series with multiple features
• A note on the asymptotic behavior of a mildly unstable integer-valued AR(1) model
• Model-based INAR bootstrap for forecasting INAR\((p)\) models
• Bootstrapping INAR models
• spINAR
• Flexible INAR(1) models for equidispersed, underdispersed or overdispersed counts
• A maximum likelihood and regenerative bootstrap approach for estimation and forecasting of INAR( p ) processes with zero-inflated innovations
• Testing the dispersion structure of count time series using Pearson residuals
• Goodness‐of‐fit tests for Poisson count time series based on the Stein–Chen identity
• On the adaptive Lasso estimator of AR(\(p\)) time series with applications to INAR(\(p\)) and Hawkes processes

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