Asymptotic properties of CLS estimators in the Poisson AR(1) model

By R. Freeland, Brendan McCabe. 2005

92 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/43f2a3d394fd3c1ce5016b25ece72a83ac5d0855

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Management Science and Operations Research

In Statistics and Probability

Citations in the corpus

The Poisson INAR(1) CUSUM chart under overdispersion and estimation error (2011, background): “Table 1 also shows simple moment estimators of the parameters (λ, α), the asymptotic distribution of which was derived by Freeland and McCabe (2005). An extensive comparative study of properties and performance of these and different types of estimators is provided by Jung et al.”
A geometric time series model with dependent Bernoulli counting series (2013, unknown): “…and Alzaid (1987), Alzaid and Al-Osh (1988, 1990), Du and Li (1991), Al-Osh and Aly (1992), Franke and Subba Rao (1995), Latour (1997), Silva and Oliveira (2004), Freeland and McCabe (2004a, 2004b, 2005), Jung and Tremayne (2006), Weiß (2008a), Cui and Lund (2010) and Bakouch and Ristić (2010).”
Zero‐Modified Geometric INAR(1) Process for Modelling Count Time Series with Deflation or Inflation of Zeros (2015, methodology): “Issues of the Poisson INAR process such as inference, forecasting and asymptotic properties of estimators were considered by Freeland and McCabe (2004a, 2004b, 2005).”
Estimation in an Integer-Valued Autoregressive Process with Negative Binomial Marginals (NBINAR(1)) (2012, background): “Time series with Poisson marginals have been studied by several authors eg, (Al-Osh and Alzaid, 1987 ; Du and Li, 1991 ; Freeland and McCabe, 2005 ).”
CUSUM Monitoring of First-Order Integer-Valued Autoregressive Processes of Poisson Counts (2009, background): “For the asymptotic distribution of these estimators, see Freeland and McCabe (2005).”
Detecting mean increases in Poisson INAR(1) processes with EWMA control charts (2011, methodology): “Table 1 also shows simple moment estimators of the parameters (μ, α), the asymptotic distribution of which is given by Freeland and McCabe [6].”
The INARCH(1) Model for Overdispersed Time Series of Counts (2010, methodology): “Applying arguments of Theorem 3 in Freeland & McCabe (2005), it follows that MM estimator has same asymptotic properties as CLS estimator.”
Asymptotic behavior of unstable INAR(p) processes (2009, background): “Du and Li [15] and Freeland and McCabe [18] derived the limit-distribution of the ordinary least squares estimator of the autoregressive parameter.”
Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) (2008, unknown): “Du and Li (1991) and Freeland and McCabe (2005) derived the limit-distribution of the OLS-estimator of θ. Brännäs and Hellström (2001) considered GMM estimation, Silva and Oliveira (2005) proposed a frequency domain based estimator of θ, Silva and Silva (2006) considered a Yule-Walker estimator,…”