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Efficient parameter estimation for independent and INAR(1) negative binomial samples

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Abstract

We consider moment based estimation methods for estimating parameters of the negative binomial distribution that are almost as efficient as maximum likelihood estimation and far superior to the celebrated zero term method and the standard method of moments estimator. Maximum likelihood estimators are difficult to compute for dependent samples such as samples generated from the negative binomial first-order autoregressive integer-valued processes. The power method of estimation is suggested as an alternative to maximum likelihood estimation for such samples and a comparison is made of the asymptotic normalized variance between the power method, method of moments and zero term method estimators.

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Authors and Affiliations

  1. Department of Mathematics, Cardiff University, Senghennydd Road, Cardiff, CF24 4AG, UK

    V. Savani & A. A. Zhigljavsky

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  1. V. Savani
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  2. A. A. Zhigljavsky
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Correspondence to V. Savani.

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Savani, V., Zhigljavsky, A.A. Efficient parameter estimation for independent and INAR(1) negative binomial samples. Metrika 65, 207–225 (2007). https://doi.org/10.1007/s00184-006-0071-x

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  • DOI: https://doi.org/10.1007/s00184-006-0071-x

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