Testing for Poisson arrivals in INAR(1) processes

被引：8
|
作者：
Schweer, Sebastian [1 ]
Weiss, Christian H. [2 ]
机构：
[1] Heidelberg Univ, Inst Appl Math, D-69120 Heidelberg, Germany
[2] Helmut Schmidt Univ, Dept Math & Stat, D-22008 Hamburg, Germany
来源：
TEST | 2016年 / 25卷 / 03期
关键词：
INAR(1) model; Time reversibility; Joint cumulants; Generalized autocovariance; Skewness index; TIME-SERIES; REVERSIBILITY;
D O I：
10.1007/s11749-015-0466-y
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：
In the framework of integer-valued autoregressive processes of order 1 [INAR(1)], two new tests for the null hypothesis of Poisson-distributed innovations are developed. The tests focus on time reversibility, as this feature is shown to be satisfied exclusively by Poisson INAR(1) processes. The necessary asymptotic variances are explicitly calculated using the joint cumulants of these processes. The finite-sample behavior of the test statistics and the power of the tests are investigated in a simulation study. The results show that the newly developed tests perform better than existing ones in certain situations.
引用
收藏
页码：503 / 524
页数：22
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