Estimation and testing for a Poisson autoregressive model

被引：33
|
作者：
Zhu, Fukang [1 ]
Wang, Dehui [1 ]
机构：
[1] Jilin Univ, Sch Math, Changchun 130012, Jilin, Peoples R China
来源：
METRIKA | 2011年 / 73卷 / 02期
关键词：
Asymptotics; Ergodicity; Maximum likelihood estimator; Poisson autoregressive model; Test; Weighted least squares estimator; TIME-SERIES; PARAMETERS;
D O I：
10.1007/s00184-009-0274-z
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 article considers statistical inference for a Poisson autoregressive model. A condition for ergodicity and a necessary and sufficient condition for the existence of moments are given. Asymptotics for maximum likelihood estimator and weighted least squares estimators with estimated weights or known weights of the parameters are established. Testing conditional heteroscedasticity and testing the parameters under a simple ordered restriction are noted. A simulation study is also given.
引用
收藏
页码：211 / 230
页数：20
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