Estimating function method for nonnegative autoregressive models
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Published:2023-04-12
Issue:4
Volume:77
Page:471-496
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ISSN:0039-0402
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Container-title:Statistica Neerlandica
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language:en
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Short-container-title:Statistica Neerlandica
Author:
Hari Prasad E.1ORCID,
Balakrishna N.1
Affiliation:
1. Department of Statistics Cochin University of Science and Technology Cochin Kerala India
Abstract
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.
Funder
University Grants Commission of Bangladesh
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference22 articles.
1. Non-Gaussian Autoregressive-Type Time Series
2. Development of product autoregressive models;Balakrishna N.;Journal of Indian Statistical Association. The Golden Jubilee Issue,2012
3. Estimating function method for product autoregressive models;Balakrishna N.;Communications in Statistics‐Simulation and Computation,2017