Local asymptotic normality and efficient estimation for multivariate GINAR(p) models

DOI10.1080/25742558.2019.1695437zbMath1486.62245OpenAlexW2990759340MaRDI QIDQ4960789

Hiroshi Shiraishi

Publication date: 23 April 2020

Published in: Cogent Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/25742558.2019.1695437

zbMATH Keywords

efficient estimationLANinteger-valued time seriesthinning operations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Unnamed Item
• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Local asymptotic normality and efficient estimation for INAR(p) models
• Maximum likelihood estimation of higher-order integer-valued autoregressive processes
• International Encyclopedia of Statistical Science
• Some ARMA models for dependent sequences of poisson counts
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• The Multivariate Ginar(p) Process
• An Introduction to Discrete‐Valued Time Series
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Flexible Bivariate INAR(1) Processes Using Copulas

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