Estimating function method for nonnegative autoregressive models

被引：0
|
作者：
Prasad, E. Hari [1 ]
Balakrishna, N. [1 ]
机构：
[1] Cochin Univ Sci & Technol, Dept Stat, Cochin 682022, Kerala, India
来源：
STATISTICA NEERLANDICA | 2023年 / 77卷 / 04期
关键词：
BGAR(1) model; combined estimating functions; EAR(1) model; GAR(1) model;
D O I：
10.1111/stan.12294
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A stationary sequence of nonnegative random variables generated by autoregressive (AR) models may be used to describe the inter-arrival times between events in counting processes. Even though, several such models are available in the literature, there is no unified approach to estimate their parameters. In this paper, we propose a class of combined estimating function method to estimate the model parameters of AR models with gamma marginals. The proposed method is compared with other estimation procedures and are illustrated by simulation and data analysis.
引用
收藏
页码：471 / 496
页数：26
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