Efficient parameter estimation for independent and INAR(1) negative binomial samples

DOI10.1007/s00184-006-0071-xzbMath1106.62028MaRDI QIDQ870516

Vippal Savani, Anatoly A. Zhigljavsky

Publication date: 12 March 2007

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-006-0071-x

zbMATH Keywords

INAR(1) process; Maximum likelihood; inadmissibility; Method of moments; Efficiency of estimators; Negative binomial distribution

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

62C15: Admissibility in statistical decision theory

Related Items

Validation tests for the innovation distribution in INAR time series models, Asymptotic distributions of statistics and parameter estimates for mixed Poisson processes

Uses Software

• itsmr

Cites Work

• Approximation Theorems of Mathematical Statistics
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Some ARMA models for dependent sequences of poisson counts
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Efficient Estimation of Parameters of the Negative Binomial Distribution
• SAMPLING THEORY OF THE NEGATIVE BINOMIAL AND LOGARITHMIC SERIES DISTRIBUTIONS
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