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Empirical Likelihood Inference for First-Order Random Coefficient Integer-Valued Autoregressive Processes

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  • Zhiwen Zhao
  • Wei Yu

Abstract

We apply the empirical likelihood method to estimate the variance of random coefficient in the first-order random coefficient integer-valued autoregressive (RCINAR(1)) processes. The empirical likelihood ratio statistic is derived and some asymptotic theory for it is presented. Furthermore, a simulation study is presented to demonstrate the performance of the proposed method.

Suggested Citation

  • Zhiwen Zhao & Wei Yu, 2016. "Empirical Likelihood Inference for First-Order Random Coefficient Integer-Valued Autoregressive Processes," Mathematical Problems in Engineering, Hindawi, vol. 2016, pages 1-8, February.
    • Handle: RePEc:hin:jnlmpe:9505794
    DOI: 10.1155/2016/9505794
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    Cited by:

    1. Feilong Lu & Dehui Wang, 2022. "A new estimation for INAR(1) process with Poisson distribution," Computational Statistics, Springer, vol. 37(3), pages 1185-1201, July.

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