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Local asymptotic normality and efficient estimation for INAR( p ) models
Author(s) -
Drost Feike C.,
Van Den Akker Ramon,
Werker Bas J. M.
Publication year - 2008
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2008.00581.x
Subject(s) - mathematics , asymptotic distribution , local asymptotic normality , autoregressive model , estimator , normality , integer (computer science) , distribution (mathematics) , star model , statistics , econometrics , mathematical analysis , autoregressive integrated moving average , computer science , time series , programming language
. 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.