Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR ( p ) models

@inproceedings{Drost2009EfficientEO,
  title={Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR ( p ) models},
  author={Feike C. Drost and Ramon van den Akker and Bas J. M. Werker},
  year={2009}
}
Integer-valued auto-regressive (INAR) processes have been introduced to model non-negative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of auto-regression coefficients and a probability distribution on the non-negative integers, called an immigration or innovation distribution. Traditionally, parametric models are considered where the innovation distribution is assumed to belong to a parametric family… CONTINUE READING