3.9 Article

Simultaneous confidence regions for the parameters of a Poisson INAR(1) model

Journal

STATISTICAL METHODOLOGY
Volume 8, Issue 6, Pages 517-527

Publisher

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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