A Two-Step Estimation Method for a Time-Varying INAR Model

A Two-Step Estimation Method for a Time-Varying INAR Model

This paper proposes a new time-varying integer-valued autoregressive (TV-INAR) model with a state vector following a logistic regression structure. Since the autoregressive coefficient in the model is time-dependent, the Kalman-smoothed method is applicable. Some statistical properties of the model...

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Bibliographic Details
Main Authors: Yuxin Pang, Dehui Wang, Mark Goh
Format: Article
Language:English
Published: MDPI AG 2023-12-01
Series:Axioms
Subjects:
time-varying integer-valued autoregressive model
parameter estimation
Kalman-smoother
logistic regression
conditional least squares
Online Access:https://www.mdpi.com/2075-1680/13/1/19

Internet

https://www.mdpi.com/2075-1680/13/1/19

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