spINAR

MaRDI QIDQ61792CRANFDO

Authors Maxime Faymonville, Javiera Riffo, Jonas Rieger, Carsten Jentsch

Last update 8 April 2024

Copyright license GNU General Public License

Software version identifier 0.1.0, PACKAGES.rds, 0.2.0

Description

Semiparametric and parametric estimation of INAR models including a finite sample refinement (Faymonville et al. (2022) <doi:10.1007/s10260-022-00655-0>) for the semiparametric setting introduced in Drost et al. (2009) <doi:10.1111/j.1467-9868.2008.00687.x>, different procedures to bootstrap INAR data (Jentsch, C. and Weiß, C.H. (2017) <doi:10.3150/18-BEJ1057>) and flexible simulation of INAR data.

Cites work

• Bootstrapping INAR models
• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• Semiparametric estimation of INAR models using roughness penalization

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