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Some asymptotic properties in INAR(1) processes with Poisson marginals

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Abstract

The first-order integer-valued autoregressive (INAR(1)) process with Poisson marginal distributions is considered. It is shown that the sample autocovariance function of the model is asymptotically normally distributed. We derive asymptotic distribution of Yule-Walker type estimators of parameters. It turns out that our Yule-Walker type estimators are better than the conditional least squares estimators proposed by Klimko and Nelson (1978) and Al-Osh and Alzaid (1987). also, we study the relationship between the model andM/M/∞ queueing system.

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  1. Department of Statistics, Korea University, 136-701, Seoul, Korea

    YouSung Park & Chan Wook Oh

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  1. YouSung Park
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  2. Chan Wook Oh
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Park, Y., Oh, C.W. Some asymptotic properties in INAR(1) processes with Poisson marginals. Statistical Papers 38, 287–302 (1997). https://doi.org/10.1007/BF02925270

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  • DOI: https://doi.org/10.1007/BF02925270

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