Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models

The paper

• Drost., F.C., Van den Akker, R., and Werker, B.J.M. (2009). Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models, Journal of the Royal Statistical Society: series B 71(2), pp. 467–485.

See

• Faymonville, M. Javiera. Riffo, J. Rieger, and C. Jentsch (2024). spINAR: An R Package for Semiparametric and Parametric Estimation and Bootstrapping of Integer-Valued Autoregressive (INAR) Models, Journal of Open Source Software 9(97), pages 5386,

Other contributions to the literature on integer-valued time series:

• Van den Akker, R. (2007). Integer-Valued Time Series. CentER dissertation series, Tilburg: Tilburg University Press.
• Drost., F.C., Van den Akker, R., and Werker, B.J.M. (2008). Local asymptotic normality and efficient estimation for INAR(p) models, Journal of Time Series Analysis, 29(5), pp.783-801.
  • Working paper version
• Drost., F.C., Van den Akker, R., and Werker, B.J.M. (2008). Note on integer-valued bilinear time series models, Statistics & probability letters 78(8), pp.992-996.
  • Working paper version
• Drost., F.C., Van den Akker, R., and Werker, B.J.M. (2009). The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models, Bernoulli 15(2), pp.297-324.
  • Slides