Local asymptotic normality and efficient estimation for INAR(p) models

被引：26

作者：

Drost, Feike C. ^{[1
]}

Van Den Akker, Ramon ^{[1
]}

Werker, Bas J. M. ^{[1
]}

机构：

[1] Tilburg Univ, Econometr & Finance Grp, CentER, NL-5000 LE Tilburg, Netherlands

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2008年 / 29卷 / 05期

关键词：

count data; integer-valued time series; information loss structure;

D O I：

10.1111/j.1467-9892.2008.00581.x

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Integer-valued autoregressive (INAR) processes have been introduced to model non-negative integer-valued phenomena that evolve in time. The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the non-negative integers, called an immigration distribution. This paper provides an efficient estimator of the parameters, and in particular, shows that the INAR(p) model has the Local Asymptotic Normality property.

引用

页码：783 / 801

页数：19

共 50 条

[1] Local asymptotic normality and efficient estimation for multivariate GINAR(p) models
Shiraishi, Hiroshi
COGENT MATHEMATICS & STATISTICS, 2019, 6
[2] The Asymptotic Behavior of INAR (p) Models
Tang, Mingtian
Wang, Yunyan
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2014, 43 (14) : 3047 - 3056
[3] LOCAL ASYMPTOTIC NORMALITY AND MIXED NORMALITY FOR MARKOV STATISTICAL-MODELS
HOPFNER, R
JACOD, J
LADELLI, L
PROBABILITY THEORY AND RELATED FIELDS, 1990, 86 (01) : 105 - 129
[4] ON SEQUENTIAL ESTIMATION UNDER THE CONDITIONS OF LOCAL ASYMPTOTIC NORMALITY
EFROIMOVICH, SY
THEORY OF PROBABILITY AND ITS APPLICATIONS, 1980, 25 (01) : 27 - 40
[5] Local Asymptotic Normality in Extreme Value Index Estimation
Frank Marohn
Annals of the Institute of Statistical Mathematics, 1997, 49 : 645 - 666
[6] Local asymptotic normality in extreme value index estimation
Marohn, F
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1997, 49 (04) : 645 - 666
[7] Operational risk models and asymptotic normality of maximum likelihood estimation
Larsen, Paul
JOURNAL OF OPERATIONAL RISK, 2016, 11 (04): : 55 - 78
[8] ASYMPTOTIC NORMALITY AND OPTIMALITIES IN ESTIMATION OF LARGE GAUSSIAN GRAPHICAL MODELS
Ren, Zhao
Sun, Tingni
Zhang, Cun-Hui
Zhou, Harrison H.
ANNALS OF STATISTICS, 2015, 43 (03): : 991 - 1026
[9] Asymptotic behavior of unstable INAR(p) processes
Barczy, M.
Ispany, M.
Pap, G.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2011, 121 (03) : 583 - 608
[10] Local asymptotic normality for regression models with long-memory disturbance
Hallin, M
Taniguchi, M
Serroukh, A
Choy, K
ANNALS OF STATISTICS, 1999, 27 (06): : 2054 - 2080

← 1 2 3 4 5 →