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

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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 languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages30
Volume2006-45
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-45

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Local Asymptotic Normality
Efficient Estimation
Integer
Non-negative
Efficient Estimator
Immigration
Survival Probability
Autoregressive Process
Model
Two Parameters
Probability Distribution

Keywords

  • count data
  • integer-valued time series
  • information loss structure

Cite this

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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",
publisher = "Econometrics",
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Local Asymptotic Normality and Efficient Estimation for inar (P) Models. / Drost, F.C.; van den Akker, R.; Werker, B.J.M.

Tilburg : Econometrics, 2006. (CentER Discussion Paper; Vol. 2006-45).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

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 -