Article ID Journal Published Year Pages File Type
1151641 Statistics & Probability Letters 2016 7 Pages PDF
Abstract

For Poisson INAR(1) or INARCH(1) count data time series, explicit asymptotic approximations for bias and standard deviation of common moment estimators are derived. Their finite-sample performance is shown by simulations. Bias corrected estimators are applied within examples.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
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