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Inference for INAR(p) processes with signed generalized power series thinning operator. (English) Zbl 1177.62110
Summary: We propose a p th-order integer-valued autoregressive processes with a signed generalized power series thinning operator. Strict stationarity, ergodicity of the process, and the moments and autocovariance functions are obtained. We derive Yule-Walker and conditional least squares estimators for the parameters in the model and their asymptotic properties are established. The performances of these estimators are compared via simulations, and we also study the robustness of these estimates. At last, the model is applied to a real data set.
MSC:
62M10Time series, auto-correlation, regression, etc. (statistics)
62F12Asymptotic properties of parametric estimators
62H12Multivariate estimation
65C60Computational problems in statistics
15A16Matrix exponential and similar functions of matrices
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