Diagnostic checks for integer-valued autoregressive models using expected residuals

DOI10.1007/s00362-011-0399-9zbMath1254.62094OpenAlexW2088587432MaRDI QIDQ1928357

Hee-Young Kim, Yousung Park

Publication date: 3 January 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-011-0399-9

zbMATH Keywords

over-dispersionprobability integral transformationinteger-valued \(AR(p)\)thinning parameter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

Parameter estimation for binomial \(\mathrm{AR}(1)\) models with applications in finance and industry ⋮ Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models ⋮ Testing for zero inflation and overdispersion in INAR(1) models ⋮ An alternative test for zero modification in the INAR(1) model with Poisson innovations ⋮ Integer-valued autoregressive models for counts showing underdispersion ⋮ Bootstrapping INAR models ⋮ Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model ⋮ Goodness-of-fit tests for binomial AR(1) processes

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