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

DOI10.1007/S00184-006-0071-XzbMATH Open1106.62028OpenAlexW2029834013MaRDI QIDQ870516FDOQ870516

Authors: Vippal Savani, 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

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zbMATH Keywords

inadmissibilityINAR(1) processMaximum likelihoodMethod of momentsEfficiency of estimatorsNegative binomial distribution

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Admissibility in statistical decision theory (62C15)

Cites Work

• Approximation Theorems of Mathematical Statistics
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Title not available (Why is that?)
• Some ARMA models for dependent sequences of poisson counts
• Title not available (Why is that?)
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Efficient Estimation of Parameters of the Negative Binomial Distribution
• SAMPLING THEORY OF THE NEGATIVE BINOMIAL AND LOGARITHMIC SERIES DISTRIBUTIONS

Cited In (3)

• Validation tests for the innovation distribution in INAR time series models
• Asymptotic distributions of statistics and parameter estimates for mixed Poisson processes
• Efficient Estimation of Parameters of the Negative Binomial Distribution

Uses Software

• itsmr

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