Random environment threshold integer-valued autoregressive process and parameter estimation

MaRDI QIDQ5128248zbMATH OpenFDO

Authors Yan Cui, Yunyan Wang

Publication date 27 October 2020

zbMATH Keywords

random environmentnegative binomial thinninginteger valued time seriesYule-Walker estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Processes in random environments (60K37)

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Cited in

(8)

• Random environment integer-valued autoregressive process with discrete Laplace marginal distributions
• Random environment integer-valued autoregressive process
• Conditional least squares estimation of the parameters of higher order random environment INAR models
• On bivariate threshold Poisson integer-valued autoregressive processes
• Estimation for random coefficient integer-valued autoregressive model under random environment
• Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation
• Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal
• An integer-valued threshold autoregressive process based on negative binomial thinning

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