Bootstrap-based bias corrections for INAR count time series

DOI10.1080/00949655.2019.1576179OpenAlexW2912166711MaRDI QIDQ5107388

Christian H. Weiß, Carsten Jentsch

Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2019.1576179

zbMATH Keywords

dispersion indexblock bootstrapsample autocovariancesfinite-sample biasAR bootstrapINAR bootstrap

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Asymptotic behaviour of the portmanteau tests in an integer-valued AR model ⋮ Goodness‐of‐fit tests for Poisson count time series based on the Stein–Chen identity

Cites Work

• Bootstrapping INAR models
• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
• Estimation in conditional first order autoregression with discrete support
• Discrete analogues of self-decomposability and stability
• Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes
• Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Maximum likelihood estimation of higher-order integer-valued autoregressive processes
• Confidence intervals for impulse responses under departures from normality
• Automatic Block-Length Selection for the Dependent Bootstrap
• Recent developments in bootstrapping time series
• An Introduction to Discrete‐Valued Time Series
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Integer-valued autoregressive models for counts showing underdispersion
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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