Some asymptotic properties in INAR(1) processes with Poisson marginals

被引：0
|
作者：
YouSung Park
Chan Wook Oh
机构：
[1] Korea University,Department of Statistics
来源：
Statistical Papers | 1997年 / 38卷
关键词：
Marginal Distribution; Queue Length; Asymptotic Distribution; ARMA Model; Dependent Sequence;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The first-order integer-valued autoregressive (INAR(1)) process with Poisson marginal distributions is considered. It is shown that the sample autocovariance function of the model is asymptotically normally distributed. We derive asymptotic distribution of Yule-Walker type estimators of parameters. It turns out that our Yule-Walker type estimators are better than the conditional least squares estimators proposed by Klimko and Nelson (1978) and Al-Osh and Alzaid (1987). also, we study the relationship between the model andM/M/∞ queueing system.
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页码：287 / 302
页数：15
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