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CLAR(1) point forecasting under estimation uncertainty
Author(s) -
Nik Simon,
Weiß Christian H.
Publication year - 2020
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/stan.12206
Subject(s) - autoregressive model , complement (music) , mathematics , randomness , poisson distribution , integer (computer science) , econometrics , statistics , computer science , biochemistry , chemistry , complementation , programming language , gene , phenotype
Forecast error is not only caused by the randomness of the data‐generating process but also by the uncertainty due to estimated model parameters. We investigate these different sources of forecast error for a popular type of count process, the Poisson first‐order integer‐valued autoregressive (INAR(1)) process. However, many of our analytical derivations also hold for the more general family of conditional linear AR(1) (CLAR(1)) processes. In addition, results from a simulation study are presented, to verify and complement our asymptotic approximations.