Local asymptotic normality and efficient estimation for INAR(p) models
. 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 int...
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| Veröffentlicht in: | Journal of time series analysis 2008-09, Vol.29 (5), p.783-801 |
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| container_title | Journal of time series analysis |
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| creator | Drost, Feike C. Van Den Akker, Ramon Werker, Bas J. M. |
| description | . 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. |
| doi_str_mv | 10.1111/j.1467-9892.2008.00581.x |
| format | Article |
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M.</creator><creatorcontrib>Drost, Feike C. ; Van Den Akker, Ramon ; Werker, Bas J. M.</creatorcontrib><description>. 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. 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This paper provides an efficient estimator of the parameters, and in particular, shows that the INAR(p) model has the Local Asymptotic Normality property.</description><subject>Count data</subject><subject>Distribution</subject><subject>Econometric models</subject><subject>Econometrics</subject><subject>Estimating techniques</subject><subject>Estimation</subject><subject>Immigration</subject><subject>INAR models</subject><subject>information loss structure</subject><subject>integer-valued time series</subject><subject>Mathematical analysis</subject><subject>Probability distribution</subject><subject>Statistical methods</subject><subject>Studies</subject><subject>Time series</subject><issn>0143-9782</issn><issn>1467-9892</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2008</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqNkF2L1DAUhosoOK7-h-KF6EVrvtokF14Mi7PuMKyLOyJ4c0jTBFP7ZdLR6b83tTIXXhl4cw7kfQ4nb5KkGOU4nrdNjlnJMykkyQlCIkeoEDg_P0o2l4fHyQZhRjPJBXmaPAuhQQiXjONNsjsMWrWpCnM3TsPkdNoPvlOtm-ZU9XVqrHXamX5KTZhcpyY39KkdfHp7t_30enyTdkNt2vA8eWJVG8yLv_Uq-bx7f7z-kB0-3txebw-ZLiTBWa0JUzVTUtqyKAohOBVWmpJyS6SWRFW8opWhktpaY0sYU8pYhg1ivFK6oFfJq3Xu6Icfp7gSdC5o07aqN8MpAOUYEcRINL78x9gMJ9_H3YAgIimWhEWTWE3aDyF4Y2H08Y9-BoxgSRcaWEKEJURY0oU_6cI5ovsV9WY0-sJVrWqmYLyCn0AVkfGal2ZBqXJRRdQYxQUFgTB8m7o47N067JdrzfzfS8D--LCNXeSzlXdhMucLr_x3KDnlBXy5u4Gv7OG4u7_fw5H-BjvEqHk</recordid><startdate>200809</startdate><enddate>200809</enddate><creator>Drost, Feike C.</creator><creator>Van Den Akker, Ramon</creator><creator>Werker, Bas J. 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M.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5921-dc24ad4a99f655588738f9e637f29c92ab7b3be393fdc1f244aaef41e047bac53</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2008</creationdate><topic>Count data</topic><topic>Distribution</topic><topic>Econometric models</topic><topic>Econometrics</topic><topic>Estimating techniques</topic><topic>Estimation</topic><topic>Immigration</topic><topic>INAR models</topic><topic>information loss structure</topic><topic>integer-valued time series</topic><topic>Mathematical analysis</topic><topic>Probability distribution</topic><topic>Statistical methods</topic><topic>Studies</topic><topic>Time series</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Drost, Feike C.</creatorcontrib><creatorcontrib>Van Den Akker, Ramon</creatorcontrib><creatorcontrib>Werker, Bas J. 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M.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Local asymptotic normality and efficient estimation for INAR(p) models</atitle><jtitle>Journal of time series analysis</jtitle><date>2008-09</date><risdate>2008</risdate><volume>29</volume><issue>5</issue><spage>783</spage><epage>801</epage><pages>783-801</pages><issn>0143-9782</issn><eissn>1467-9892</eissn><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. 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| ispartof | Journal of time series analysis, 2008-09, Vol.29 (5), p.783-801 |
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| source | RePEc; Wiley Online Library All Journals |
| subjects | Count data Distribution Econometric models Econometrics Estimating techniques Estimation Immigration INAR models information loss structure integer-valued time series Mathematical analysis Probability distribution Statistical methods Studies Time series |
| title | Local asymptotic normality and efficient estimation for INAR(p) models |
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