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Estimation and Forecasting in INAR(P) Models Using Sieve Bootstrap
| Content Provider | Scilit |
|---|---|
| Author | Bisaglia, Luisa Gerolimetto, Margherita |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models. We state the superiority of sieve bootstrap approaches on block bootstrap in terms of low bias and Mean Square Error (MSE). Then we apply the sieve bootstrap methods to obtain coherent predictions and confidence intervals in order to avoid difficulty in deriving the distributional properties. |
| Related Links | http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2018/WP_DSE_bisaglia_girolimetto_06_18.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3141801 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3141801 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-03-02 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Mathematical Social Sciences Statistics and Probability Inar(p) Models |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
