Additive outliers in INAR(1) models

• Type: Article in International Scientific Journal
• Date: 2012

Authors

barczy, m (Author) Other; ispany, m (Author) Other; pap, g (Author) Other; scotto, m (Author) Other; silva, me (Author) FEP

Journal

Title: Statistical Papers

Vol. 53 No. 4

Pages: 935-949

ISSN: 0932-5026

Publisher: Springer Nature

Indexing

ISI Web of Knowledge - 13 Citations

ISI Web of Science - 5 Citations

Scopus - 15 Citations

Scientific classification

FOS: Natural sciences > Mathematics

CORDIS: Physical sciences > Mathematics > Statistics

Other information

Authenticus ID: 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 15