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