Local asymptotic normality and efficient estimation for INAR(p) models
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. Copyright 2008 The Authors. Journal compilation 2008 Blackwell Publishing Ltd
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Volume (Year): 29 (2008)
Issue (Month): 5 (09)
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References listed on IDEAS
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- Gourieroux, C. & Jasiak, J., 2004. "Heterogeneous INAR(1) model with application to car insurance," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 177-192, April.
- Donald W.K. Andrews, 1990.
"Generic Uniform Convergence,"
Cowles Foundation Discussion Papers
940, Cowles Foundation for Research in Economics, Yale University.
- Nikas Rudholm, 2001. "Entry and the Number of Firms in the Swedish Pharmaceuticals Market," Review of Industrial Organization, Springer, vol. 19(3), pages 351-364, November.
- R. K. Freeland & B. P. M. McCabe, 2004. "Analysis of low count time series data by poisson autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 701-722, 09.
- Maria Eduarda Silva & Vera Lucia Oliveira, 2005. "Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 17-36, 01.
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