Innovational Outliers in INAR(1) Models

• Type: Article in International Scientific Journal
• Date: 2010

Authors

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

Journal

Title: Communications in Statistics - Theory and Methods

Vol. 39

Pages: 3343-3362

ISSN: 0361-0926

Publisher: Taylor & Francis

Indexing

ISI Web of Knowledge - 13 Citations

Scopus - 14 Citations

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-003-AF7

DOI: 10.1080/03610920903259831

Abstract (EN): We consider integer-valued autoregressive models of order one contaminated with innovational outliers. Assuming that the time points of the outliers are known but their sizes are unknown, we prove that Conditional Least Squares (CLS) estimators of the offspring and innovation means are strongly consistent. In contrast, CLS estimators of the outliers' sizes are not strongly consistent. 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 time points preceding the outliers' occurrences, the joint CLS estimator of the sizes of the outliers is asymptotically normal.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 20