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.
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页码：783 / 801
页数：19
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