Efficient estimation in periodic INAR(\(p\)) model: nonparametric innovation distributions case

DOI10.1016/j.jspi.2020.07.005zbMath1455.62057OpenAlexW3043917813MaRDI QIDQ826991

Mohamed Bentarzi, Mohamed Sadoun

Publication date: 6 January 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2020.07.005

zbMATH Keywords

nonparametric maximum likelihood(LAN) propertyperiodic INAR(\(p\)) modelperiodically correlated integer-valued processsemiparametric efficient estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Applications of statistics in engineering and industry; control charts (62P30)

Related Items (1)

On the extremes of the max-INAR(1) process for time series of counts

Cites Work

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• Discrete analogues of self-decomposability and stability
• Integer-valued autoregressive processes with periodic structure
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• Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
• Integer-Valued GARCH Process
• Local asymptotic normality and efficient estimation for INAR(p) models
• Asymptotic Statistics
• Efficiency. of infinite dimensional M‐ estimators
• A bivariate INAR(1) process with application
• A Poisson INAR(1) process with a seasonal structure
• Periodically and Almost-Periodically Correlated Random Processes with a Continuous Time Parameter

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