Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes

DOI10.1016/j.spl.2016.01.018zbMath1419.62253OpenAlexW2253183391MaRDI QIDQ273793

Sebastian Schweer, Christian H. Weiß

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.01.018

zbMATH Keywords

asymptotic propertiesbias correctionscount-data time seriesmoment estimatorsPoisson INAR(1) modelPoisson INARCH(1) model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (8)

Testing the compounding structure of the CP-INARCH model ⋮ Bias-correction of some estimators in the INAR(1) process ⋮ CLAR(1) point forecasting under estimation uncertainty ⋮ Bootstrap-based bias corrections for INAR count time series ⋮ Higher autocumulant functions for ADCINAR(1) process and bias-correction of some estimators ⋮ Testing the dispersion structure of count time series using Pearson residuals ⋮ Bootstrapping INAR models ⋮ Model diagnostics for Poisson INARMA processes using bivariate dispersion indexes

Uses Software

• Fahrmeir

Cites Work

• Unnamed Item
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• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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