Simultaneous confidence regions for the parameters of a Poisson INAR(1) model

DOI10.1016/J.STAMET.2011.07.003MaRDI QIDQ713901zbMATH OpenOpenAlexFDO

Authors Christian H. Weiß

Publication date 19 October 2012

Published in Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.stamet.2011.07.003

zbMATH Keywords

CLS estimatorsML estimatorstime series of counts

Mathematics Subject Classification ID

Point estimation (62F10) Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL
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• A new estimation for INAR(1) process with Poisson distribution
• The INARCH(1) model for overdispersed time series of counts
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS

Cites work

• A New Type of Discrete Self-Decomposability and Its Application to Continuous-Time Markov Processes for Modeling Count Data Time Series
• Analysis of low count time series data by poisson autoregression
• Asymptotic properties of CLS estimators in the Poisson AR(1) model
• Discrete analogues of self-decomposability and stability
• Estimation in conditional first order autoregression with discrete support
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• scientific article; zbMATH DE number 194136 (Why is no real title available?)
• On conditional least squares estimation for stochastic processes
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• Thinning operations for modeling time series of counts -- a survey

Cited in

(5)

• First order non-negative integer valued autoregressive processes with power series innovations
• CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL
• Improved estimation for Poisson INAR(1) models
• The effects of additive outliers in INAR(1) process and robust estimation
• On the robustness of maximum likelihood estimators for the Poisson INAR(1) model

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