Asymptotic distribution of CLS estimators in the nearly unstable and unstable PINAR(1) model

被引：2

作者：

Manaa, Abderrahmen ^{[1
]}

Bentarzi, Wissam ^{[1
]}

机构：

[1] Univ Sci & Technol Houari Boumediene, Dept Operat Res, Fac Math, BP 32 Bab Ezzouar, Algiers 16111, Algeria

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2024年 / 53卷 / 01期

关键词：

Asymptotic distribution of CLS estimators; Periodically correlated integer-valued process; Periodic INAR model; INFERENCE;

D O I：

10.1080/03610918.2021.1986529

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with some probabilistic and statistical properties of a periodic generalized integer-valued autoregressive PINAR(1) model. The autocovariance structure is studied while establishing the closed-form of the periodic autocorrelation function. The Conditional Least Squares CLS-estimators of the underlying parameters are obtained. In addition, the asymptotic distribution of these estimators is provided, whether the innovation process mean is considered to be known or not, also for the nearly unstable and unstable integer-valued autoregressive PINAR(1) model. The performance of these estimators and their asymptotic distribution behavior are shown via a simulation study.

引用

页码：1 / 29

页数：29

共 50 条

[11] ON THE DISTRIBUTION OF THE NEARLY UNSTABLE AR(1) PROCESS WITH HEAVY TAILS
Olvera-Cravioto, Mariana
ADVANCES IN APPLIED PROBABILITY, 2010, 42 (01) : 106 - 136
[12] Unified asymptotic theory for nearly unstable AR(p) processes
Buchmann, Boris
Chan, Ngai Hang
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2013, 123 (03) : 952 - 985
[13] Asymptotic distribution of least squares estimators for purely unstable ARMAX(p,s,q) process
Benaid, Brahim
International Journal of Applied Mathematics and Statistics, 2011, 21 (J11): : 1 - 14
[14] Asymptotic distribution of least squares estimators for purely unstable ARMAX(p,s,q) process
Benaid, Brahim
INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS, 2011, 21 (J11): : 1 - 14
[15] Asymptotic inference for a nearly unstable sequence of stationary spatial AR models
Baran, S
Pap, G
van Zuijlen, MCA
STATISTICS & PROBABILITY LETTERS, 2004, 69 (01) : 53 - 61
[16] Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes
Liu, Congmin
Liu, Chang
Bai, Yansong
Wang, Dehui
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2023, 93 (08) : 1318 - 1336
[17] Asymptotic inference for an unstable spatial ar model
Baran, S
Pap, G
van Zuijlen, MCA
STATISTICS, 2004, 38 (06) : 465 - 482
[18] Large and moderate deviations for the total population in the nearly unstable INAR(1) model
Li, Shimin
Jiang, Hui
Wang, Shaochen
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (07) : 1718 - 1730
[19] The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
Drost, Feike C.
Van Den Akker, Ramon
Werker, Bas J. M.
BERNOULLI, 2009, 15 (02) : 297 - 324
[20] ASYMPTOTIC-DISTRIBUTION OF AN ESTIMATOR OF BOUNDARY PARAMETER OF AN UNSTABLE PROCESS
RAO, MM
ANNALS OF STATISTICS, 1978, 6 (01): : 185 - 190

← 1 2 3 4 5 →