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.
Gespeichert in:
| Hauptverfasser: | , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
11 February 2016
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| In: |
Statistics & probability letters
Year: 2016, Jahrgang: 112, Pages: 124-130 |
| ISSN: | 1879-2103 |
| DOI: | 10.1016/j.spl.2016.01.018 |
| Online-Zugang: | 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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| Verfasserangaben: | Christian H. Weiß, Sebastian Schweer |
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| 520 | |a 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. | ||
| 650 | 4 | |a Asymptotic properties | |
| 650 | 4 | |a Bias corrections | |
| 650 | 4 | |a Count-data time series | |
| 650 | 4 | |a Moment estimators | |
| 650 | 4 | |a Poisson INAR(1) model | |
| 650 | 4 | |a Poisson INARCH(1) model | |
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