In this paper we investigate bootstrap techniques applied to the estimation of the thinning parameters in INAR(p) models. We propose a new bootstrap approach based on sieve bootstrap. The approach is then applied to the Yule-Walker estimator of the thinning parameters. Monte Carlo experiments are carried out to valuate the performance of bootstrap estimator and the superiority of our proposal is stated in terms of low bias and Mean Square Error (MSE). Finally, a real time series is analyzed.
Estimation of INAR(p) models using bootstrap
Gerolimetto, Margherita;Bisaglia, Luisa
2016
Abstract
In this paper we investigate bootstrap techniques applied to the estimation of the thinning parameters in INAR(p) models. We propose a new bootstrap approach based on sieve bootstrap. The approach is then applied to the Yule-Walker estimator of the thinning parameters. Monte Carlo experiments are carried out to valuate the performance of bootstrap estimator and the superiority of our proposal is stated in terms of low bias and Mean Square Error (MSE). Finally, a real time series is analyzed.File in questo prodotto:
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