Journal
STATISTICAL METHODOLOGY
Volume 8, Issue 6, Pages 517-527Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.stamet.2011.07.003
Keywords
Time series of counts; Poisson INAR(1) model; Simultaneous confidence regions; CLS estimators; ML estimators
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The INAR(1) model (integer-valued autoregressive) is commonly used to model serially dependent processes of Poisson counts. We propose several asymptotic simultaneous confidence regions for the two parameters of a Poisson INAR(1) model, and investigate their performance and robustness for finite-length time series in a simulation study. Practical recommendations are derived, and the application of the confidence regions is illustrated by a real-data example. (C) 2011 Elsevier B.V. All rights reserved.
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