Innovational Outliers in INAR(1) Models

DOI10.1080/03610920903259831zbMath1202.62109OpenAlexW2069432721MaRDI QIDQ3064076

Márton Ispány, Mátyás Barczy, Gyula Pap, Manuel G. Scotto, Maria Eduarda Silva

Publication date: 20 December 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903259831

zbMATH Keywords

strong consistencyconditional least squares estimatorsconditional asymptotic normalityinnovational outliersINAR(1)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

The effects of additive outliers in INAR(1) process and robust estimation ⋮ Modeling time series of counts with a new class of INAR(1) model ⋮ Binomial AR(1) processes with innovational outliers ⋮ Additive outliers in INAR(1) models ⋮ A multiplicative thinning‐based integer‐valued GARCH model ⋮ \( \mathbb{Z} \)-valued time series: models, properties and comparison ⋮ Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies ⋮ Thinning-based models in the analysis of integer-valued time series: a review ⋮ A copula-based bivariate integer-valued autoregressive process with application ⋮ Tests for time series of counts based on the probability-generating function

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• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS

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