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Portmanteau tests for generalized integer-valued autoregressive time series models

Portmanteau tests for GINAR models

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Abstract

In recent years, integer-valued time series attract the attention of researchers and find their applications in data analysis. Among various models, the integer-valued autoregressive (INAR) ones are of great popularity and are widely applied in practice. This paper develops some portmanteau test statistics to check the adequacy of the fitted model in a wide group of INAR processes, called generalized INAR. For this purpose, the asymptotic distributions of the test statistics are obtained and, using Monte Carlo simulation studies, their finite sample properties are derived. Besides, the results are applied in analyzing a real data example

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Acknowledgements

The authors would like to express their sincere thanks to the Associate Editor and the three anonymous referees for their encouragements and valuable comments, which greatly improve the paper

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Authors and Affiliations

  1. Department of Statistics, Faculty of Science, Shiraz University, Shiraz, Iran

    Masoomeh Forughi, Zohreh Shishebor & Atefeh Zamani

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  1. Masoomeh Forughi
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  2. Zohreh Shishebor
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  3. Atefeh Zamani
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Correspondence to Atefeh Zamani.

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Forughi, M., Shishebor, Z. & Zamani, A. Portmanteau tests for generalized integer-valued autoregressive time series models. Stat Papers 63, 1163–1185 (2022). https://doi.org/10.1007/s00362-021-01274-9

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