Local Asymptotic Normality and Efficient Estimation for inar (P) Models

F.C. Drost; R. van den Akker; B.J.M. Werker

Local Asymptotic Normality and Efficient Estimation for inar (P) Models

F.C. Drost, R. van den Akker, B.J.M. Werker

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Abstract

Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued 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 nonnegative integers, called an immigration or innovation 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.

Original language	English
Place of Publication	Tilburg
Publisher	Econometrics
Number of pages	30
Volume	2006-45
Publication status	Published - 2006

Publication series

Name	CentER Discussion Paper
Volume	2006-45

Keywords

count data
integer-valued time series
information loss structure

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title = "Local Asymptotic Normality and Efficient Estimation for inar (P) Models",

abstract = "Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued 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 nonnegative integers, called an immigration or innovation 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.",

keywords = "count data, integer-valued time series, information loss structure",

author = "F.C. Drost and {van den Akker}, R. and B.J.M. Werker",

note = "Subsequently published in the Journal of Time Series Analysis, 2008 Pagination: 30",

year = "2006",

language = "English",

volume = "2006-45",

series = "CentER Discussion Paper",

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T1 - Local Asymptotic Normality and Efficient Estimation for inar (P) Models

AU - Drost, F.C.

AU - van den Akker, R.

AU - Werker, B.J.M.

N1 - Subsequently published in the Journal of Time Series Analysis, 2008 Pagination: 30

PY - 2006

Y1 - 2006

N2 - Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued 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 nonnegative integers, called an immigration or innovation 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.

AB - Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued 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 nonnegative integers, called an immigration or innovation 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.

KW - count data

KW - integer-valued time series

KW - information loss structure

M3 - Discussion paper

VL - 2006-45

T3 - CentER Discussion Paper

BT - Local Asymptotic Normality and Efficient Estimation for inar (P) Models

PB - Econometrics

CY - Tilburg

ER -

Local Asymptotic Normality and Efficient Estimation for inar (P) Models

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