Maximum likelihood estimation of the DDRCINAR(p) model. Issue 24 (11th November 2021)

• Record Type: Journal Article
• Authors: Liu, Xiufang; Wang, Dehui; Deng, Dianliang; Cheng, Jianhua; Lu, Feilong
• Is Part Of: Communications in statistics. Volume 50:Issue 24(2021)
• Page Start: 6231
• Page End: 6255
• Publication Date: 2021-11-11
• Subjects: Conditional least squares -- conditional maximum likelihood -- DDRCINAR(p) model -- asymptotic distribution; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2020.1741627
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: In this paper, the novel estimating methods and their properties for p th-order dependence-driven random coefficient integer-valued autoregressive time series model (DDRCINAR( p )) are studied as the innovation sequence has a Poisson distribution and the thinning is binomial. Strict stationarity and ergodicity for DDRCINAR( p ) model are proved. Conditional maximum likelihood and conditional least squares are used to estimate the model parameters. Asymptotic normality of the proposed estimators are derived. Finite sample properties of the conditional maximum likelihood estimator are examined in relation to the widely used conditional least squares estimator. It is concluded that, if the Poisson assumption can be justified, conditional maximum likelihood method performs better in terms of bias and MSE. Finally, three real data sets are analyzed to demonstrate the practical relevance of the model.