Local Asymptotic Normality and Efficient Estimation for INAR(p) Models
Copyright policy )Local Asymptotic Normality and Efficient Estimation for INAR(p) Models
Abstract. Integer‐valued autoregressive (INAR) processes have been introduced to model non‐negative integer‐valued phenomena that evolve in time. The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the non‐negative integers, called an immigration distribution. This paper provides an efficient estimator of the parameters, and in particular, shows that the INAR(p) model has the Local Asymptotic Normality property.
- Tilburg University Netherlands
Applications of statistics to actuarial sciences and financial mathematics, information loss structure., count data, count data;integer-valued time series;information loss structure, Time series, auto-correlation, regression, etc. in statistics (GARCH), integer-valued time series, count data; integer-valued time series; information loss structure, information loss structure, Asymptotic properties of parametric estimators, jel: jel:C12, jel: jel:C13, jel: jel:C19
Applications of statistics to actuarial sciences and financial mathematics, information loss structure., count data, count data;integer-valued time series;information loss structure, Time series, auto-correlation, regression, etc. in statistics (GARCH), integer-valued time series, count data; integer-valued time series; information loss structure, information loss structure, Asymptotic properties of parametric estimators, jel: jel:C12, jel: jel:C13, jel: jel:C19
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