Efficient estimation in semiparametric self-exciting threshold INAR processes

DOI10.1080/03610918.2021.1910300OpenAlexW3153119477MaRDI QIDQ6172616

Mohamed Bentarzi, Mohamed Sadoun

Publication date: 20 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1910300

zbMATH Keywords

efficient estimationLAN propertynon-parametric maximum likelihoodsemiparametric integer-valued processSETINAR model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Structural changes in autoregressive models for binary time series
• On differentiable functionals
• Discrete analogues of self-decomposability and stability
• Adaptive estimates for autoregressive processes
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• An integer-valued threshold autoregressive process based on negative binomial thinning
• Adaptive estimation in a random coefficient autoregressive model
• On adaptive estimation in stationary ARMA processes
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• First-order random coefficients integer-valued threshold autoregressive processes
• Nested sub-sample search algorithm for estimation of threshold models
• Integer-Valued Self-Exciting Threshold Autoregressive Processes
• Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models
• Inference in TAR Models
• Local asymptotic normality and efficient estimation for INAR(p) models
• Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models
• Asymptotic Statistics
• THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS¹
• Sample Splitting and Threshold Estimation
• Efficiency. of infinite dimensional M‐ estimators
• Threshold autoregression analysis for finite-range time series of counts with an application on measles data
• Self-Excited Threshold Poisson Autoregression
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Integer autoregressive models with structural breaks
• Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model
• Adaptive Thresholds
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

This page was built for publication: Efficient estimation in semiparametric self-exciting threshold INAR processes