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

Park, You Sung; Oh, Chan Wook

doi:10.1007/bf02925270

Cited by 24 publications

(15 citation statements)

References 9 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This result generalizes the work of Park and Oh (1997). Thus, as expected, the replicated observations lead to a variance reduction of the estimators of order 1/r.…”

Section: Yule-walker Estimationsupporting

confidence: 88%

Replicated INAR(1) Processes

Silva

Pereira

et al. 2005

Methodol Comput Appl Probab

View full text Add to dashboard Cite

Replicated time series are a particular type of repeated measures, which consist of timesequences of measurements taken from several subjects (experimental units). We consider independent replications of count time series that are modelled by first-order integer-valued autoregressive processes, INAR(1). In this work, we propose several estimation methods using the classical and the Bayesian approaches and both in time and frequency domains. Furthermore, we study the asymptotic properties of the estimators. The methods are illustrated and their performance is compared in a simulation study. Finally, the methods are applied to a set of observations concerning sunspot data.

show abstract

“…This result generalizes the work of Park and Oh (1997). Thus, as expected, the replicated observations lead to a variance reduction of the estimators of order 1/r.…”

Section: Yule-walker Estimationsupporting

confidence: 88%

Replicated INAR(1) Processes

Silva

Pereira

et al. 2005

Methodol Comput Appl Probab

View full text Add to dashboard Cite

show abstract

“…Some properties including recurrence relations and minimum variance unbiased estimator of the probability functions are shown in Huang and Fung (1997). The first order integer valued autoregressive process with Poisson marginal distribution is considered in Park and Oh (1997), where the sample autocovariance function of the model is asymptotically normally distributed.…”

Section: Introductionmentioning

confidence: 99%

A conditional count model for repeated count data and its application to GEE approach

Dey

Islam

2015

Stat Papers

View full text Add to dashboard Cite

In this article, a conditional model is proposed for modeling longitudinal count data. The joint density is disintegrated into the marginal and conditional densities according to the multiplication rule. It allows both positive and negative correlation among variables, which most multivariate count models do not possess. To show the efficiency of the proposed model for count data, we have applied to the generalized estimating equations and the inverse Fisher information matrix is compared with the covariance matrix from estimating equations. A simulation experiment is displayed and an application of the model to divorce data is presented. In addition, a comparison of conditional model and bivariate Poisson model proposed by Kocherlakota and Kocherlakota has shown using simulated data.

show abstract

“…Gauthier and Latour in [14] and Latour in [19] and [20] developed a more general version of the INAR(p) model, denoted by GINAR(p). Park and Kim in [25] while Dion et alin [9] established links between some models used in integer-valued time series analysis and branching processes.…”

Section: Introductionmentioning

confidence: 99%

A simple integer-valued bilinear time series model

2006

View full text Add to dashboard Cite

In this paper, we extend the integer-valued model class to give a nonnegative integervalued bilinear process, denoted by INBL(p, q, m, n), similar to the real-valued bilinear model. We demonstrate the existence of this strictly stationary process and give an existence condition for it. The estimation problem is discussed in the context of a particular simple case. The method of moments is applied and the asymptotic joint distribution of the estimators is given: it turns out to be a normal distribution. We present numerical examples and applications of the model to real time series data on meningitis and Escherichia coli infections.

show abstract

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

Cited by 24 publications

References 9 publications

Replicated INAR(1) Processes

Replicated INAR(1) Processes

A conditional count model for repeated count data and its application to GEE approach

A simple integer-valued bilinear time series model

Contact Info

Product

Resources

About