Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1150908 | Statistical Methodology | 2011 | 11 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Christian H. Weiß,