Estimation in conditional first order autoregression with discrete support

DOI10.1007/BF02762968zbMath1083.62089MaRDI QIDQ816536

Robert C. Jung, Gerd Ronning, A. R. Tremayne

Publication date: 9 March 2006

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

overdispersionsimulationsbias correctiontime series of countssmall sample propertiesINAR modelsPoINAR(1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (37)

The effects of additive outliers in INAR(1) process and robust estimation ⋮ Estimation in an Integer-Valued Autoregressive Process with Negative Binomial Marginals (NBINAR(1)) ⋮ Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes ⋮ Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion ⋮ Useful models for time series of counts or simply wrong ones? ⋮ A Goodness‐of‐Fit Test for Integer‐Valued Autoregressive Processes ⋮ Parameter estimation for binomial \(\mathrm{AR}(1)\) models with applications in finance and industry ⋮ A geometric bivariate time series with different marginal parameters ⋮ Bayesian nonparametric forecasting for INAR models ⋮ A study of RCINAR(1) process with generalized negative binomial marginals ⋮ Convolution-closed models for count time series with applications ⋮ The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models ⋮ First-order integer-valued autoregressive process with Markov-switching coefficients ⋮ Bias-correction of some estimators in the INAR(1) process ⋮ Bootstrap-based bias corrections for INAR count time series ⋮ Testing for zero inflation and overdispersion in INAR(1) models ⋮ Testing for Poisson arrivals in INAR(1) processes ⋮ An alternative test for zero modification in the INAR(1) model with Poisson innovations ⋮ A threshold mixed count time series model: estimation and application ⋮ Detecting mean increases in Poisson INAR(1) processes with EWMA control charts ⋮ Fully observed INAR(1) processes ⋮ Integer-valued autoregressive models for counts showing underdispersion ⋮ Semiparametric estimation of INAR models using roughness penalization ⋮ First order non-negative integer valued autoregressive processes with power series innovations ⋮ Process capability analysis for serially dependent processes of Poisson counts ⋮ Imputation-based semiparametric estimation for INAR(1) processes with missing data ⋮ Thinning operations for modeling time series of counts -- a survey ⋮ EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS ⋮ The INARCH(1) Model for Overdispersed Time Series of Counts ⋮ Simultaneous confidence regions for the parameters of a Poisson \(INAR(1)\) model ⋮ An integer-valued threshold autoregressive process based on negative binomial thinning ⋮ Treating missing values in INAR(1) models: An application to syndromic surveillance data ⋮ Binomial thinning models for integer time series ⋮ A Poisson INAR(1) process with a seasonal structure ⋮ First-order random coefficients integer-valued threshold autoregressive processes ⋮ Bivariate first-order random coefficient integer-valued autoregressive processes ⋮ Efficient accounting for estimation uncertainty in coherent forecasting of count processes

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