Publikation:

On strongly dependent zero-inflated INAR(1) processes

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2024

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http://nbn-resolving.de/urn:nbn:de:bsz:352-2-1efj98vche16z4
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https://doi.org/10.1007/s00362-023-01496-z
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CC BY 4.0

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Mathematik und Statistik: Publikationen
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Statistical Papers. Springer. 2024, 65(4), S. 2527-2553. ISSN 0932-5026. eISSN 1613-9798. Verfügbar unter: doi: 10.1007/s00362-023-01496-z

Zusammenfassung

We consider INAR(1) processes modulated by an unobserved strongly dependent 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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Fachgebiet (DDC)
510 Mathematik

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INAR process, Zero-inflation, Long-range dependence, Modulation

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ISO 690BERAN, Jan, Frieder DROULLIER, 2024. On strongly dependent zero-inflated INAR(1) processes. In: Statistical Papers. Springer. 2024, 65(4), S. 2527-2553. ISSN 0932-5026. eISSN 1613-9798. Verfügbar unter: doi: 10.1007/s00362-023-01496-z
BibTex
@article{Beran2024-06stron-68864,
  year={2024},
  doi={10.1007/s00362-023-01496-z},
  title={On strongly dependent zero-inflated INAR(1) processes},
  number={4},
  volume={65},
  issn={0932-5026},
  journal={Statistical Papers},
  pages={2527--2553},
  author={Beran, Jan and Droullier, Frieder}
}
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