Asymptotic distribution of CLS estimators in the nearly unstable and unstable PINAR(1) model

DOI10.1080/03610918.2021.1986529MaRDI QIDQ6544927

Wissam Bentarzi, Author name not available (Why is that?)

Publication date: 28 May 2024

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

Mathematics Subject Classification ID

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

Cites Work

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• Asymptotic behavior of unstable INAR(\(p\)) processes
• Efficient estimation in periodic INAR(\(p\)) model: nonparametric innovation distributions case
• Asymptotic inference for nearly nonstationary AR(1) processes
• Discrete analogues of self-decomposability and stability
• Integer-valued autoregressive processes with periodic structure
• Periodic integer-valued GARCH(1, 1) model
• Periodic integer-valued bilinear time series model
• Asymptotic inference for nearly unstable INAR(1) models
• On mixture periodic Integer-Valued ARCH models
• Periodically and Almost-Periodically Correlated Random Processes with a Continuous Time Parameter
• Locally asymptotically efficient estimation for parametric PINAR(p) models
• On a periodic negative binomial SETINAR model

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