Additive outliers in INAR(1) models

• Tipo: Artigo em Revista Científica Internacional
• Data: 2012

Autores

barczy, m (Autor) Outra; ispany, m (Autor) Outra; pap, g (Autor) Outra; scotto, m (Autor) Outra; silva, me (Autor) FEP

Revista

Título: Statistical Papers

Vol. 53 Nº 4

Páginas: 935-949

ISSN: 0932-5026

Editora: Springer Nature

Indexação

ISI Web of Knowledge - 13 Citações

ISI Web of Science - 5 Citações

Scopus - 15 Citações

Classificação Científica

FOS: Ciências exactas e naturais > Matemática

CORDIS: Ciências Físicas > Matemática > Estatística

Outras Informações

ID Authenticus: P-002-46E

DOI: 10.1007/s00362-011-0398-x

Abstract (EN): In this paper the integer-valued autoregressive model of order one, contaminated with additive outliers is studied in some detail. Moreover, parameter estimation is also addressed. Supposing that the timepoints of the outliers are known but their sizes are unknown, we prove that the conditional least squares (CLS) estimators of the offspring and innovation means are strongly consistent. In contrast, however, the CLS estimators of the outliers' sizes are not strongly consistent, although they converge to a random limit with probability 1. We also prove that the joint CLS estimator of the offspring and innovation means is asymptotically normal. Conditionally on the values of the process at the timepoints neighboring to the outliers' occurrences, the joint CLS estimator of the sizes of the outliers is also asymptotically normal.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 15