On strongly dependent zero-inflated INAR(1) processes

IF 1.2 3区数学 Q2 STATISTICS & PROBABILITY

Statistical Papers Pub Date : 2023-09-29 DOI:10.1007/s00362-023-01496-z

Jan Beran, Frieder Droullier

引用次数: 0

Abstract

Abstract We consider INAR(1) processes modulated by an unobserved strongly dependent $$0-1$$ 0 - 1 process. The observed process exhibits zero inflation and long memory. A simple method is proposed for estimating the INAR-parameters without modelling the unobserved modulating process. Asymptotic results for the estimators are derived, and a zero-inflation test is introduced. Asymptotic rejection regions and asymptotic power under long-memory alternatives are derived. A small simulation study illustrates the asymptotic results.

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关于强相关零膨胀的INAR(1)过程

我们考虑由一个未观察到的强依赖$$0-1$$ 0 - 1过程调制的INAR(1)过程。观察到的过程表现出零膨胀和长记忆。提出了一种无需对未观测到的调制过程进行建模即可估计inar参数的简单方法。给出了估计量的渐近结果，并引入了零膨胀检验。导出了长记忆备选方案下的渐近抑制区域和渐近幂。一个小型的模拟研究说明了渐近的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistical Papers 数学-统计学与概率论

CiteScore

2.80

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： The journal Statistical Papers addresses itself to all persons and organizations that have to deal with statistical methods in their own field of work. It attempts to provide a forum for the presentation and critical assessment of statistical methods, in particular for the discussion of their methodological foundations as well as their potential applications. Methods that have broad applications will be preferred. However, special attention is given to those statistical methods which are relevant to the economic and social sciences. In addition to original research papers, readers will find survey articles, short notes, reports on statistical software, problem section, and book reviews.