IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR("p") models

  • Feike C. Drost
  • Ramon van den Akker
  • Bas J. M. Werker

Integer-valued auto-regressive (INAR) processes have been introduced to model non-negative integer-valued phenomena that evolve over time. The distribution of an INAR("p") process is essentially described by two parameters: a vector of auto-regression coefficients and a probability distribution on the non-negative integers, called an immigration or innovation distribution. Traditionally, parametric models are considered where the innovation distribution is assumed to belong to a parametric family. The paper instead considers a more realistic semiparametric INAR("p") model where there are essentially no restrictions on the innovation distribution. We provide an (semiparametrically) efficient estimator of both the auto-regression parameters and the innovation distribution. Copyright (c) 2009 Royal Statistical Society.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Statistical Methodology).

Volume (Year): 71 (2009)
Issue (Month): 2 ()
Pages: 467-485

in new window

Handle: RePEc:bla:jorssb:v:71:y:2009:i:2:p:467-485
Contact details of provider: Postal: 12 Errol Street, London EC1Y 8LX, United Kingdom
Phone: -44-171-638-8998
Fax: -44-171-256-7598
Web page:

More information through EDIRC

Order Information: Web:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bla:jorssb:v:71:y:2009:i:2:p:467-485. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

or (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.