Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
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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| Main Authors: | , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
11 February 2016
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| In: |
Statistics & probability letters
Year: 2016, Volume: 112, Pages: 124-130 |
| ISSN: | 1879-2103 |
| DOI: | 10.1016/j.spl.2016.01.018 |
| Online Access: | Verlag, Volltext: http://dx.doi.org/10.1016/j.spl.2016.01.018 Verlag, Volltext: http://www.sciencedirect.com/science/article/pii/S016771521530345X 
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| Author Notes: | Christian H. Weiß, Sebastian Schweer |
| Summary: | 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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| Item Description: | Gesehen am 01.06.2018 |
| Physical Description: | Online Resource |
| ISSN: | 1879-2103 |
| DOI: | 10.1016/j.spl.2016.01.018 |