Efficient estimation in periodic INAR(\(p\)) model: nonparametric innovation distributions case
From MaRDI portal
Publication:826991
DOI10.1016/j.jspi.2020.07.005zbMath1455.62057MaRDI QIDQ826991
Mohamed Bentarzi, Mohamed Sadoun
Publication date: 6 January 2021
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2020.07.005
nonparametric maximum likelihood; (LAN) property; periodic INAR(\(p\)) model; periodically correlated integer-valued process; semiparametric efficient estimation
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62P30: Applications of statistics in engineering and industry; control charts
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Discrete analogues of self-decomposability and stability
- Integer-valued autoregressive processes with periodic structure
- Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models
- Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
- Integer-Valued GARCH Process
- Local asymptotic normality and efficient estimation for INAR(p) models
- Asymptotic Statistics
- Efficiency. of infinite dimensional M‐ estimators
- A bivariate INAR(1) process with application
- A Poisson INAR(1) process with a seasonal structure
- Periodically and Almost-Periodically Correlated Random Processes with a Continuous Time Parameter