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Bisaglia, Luisa and Gerolimetto, Margherita (2016) Estimation of INAR(p) models using bootstrap. [Working Paper] WORKING PAPER SERIES, 06/2016 . , PADOVA (Inedito)

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Abstract (english)

In this paper we investigate bootstrap techniques applied to the estimation of the thinning parameters in INAR(p) models. We propose a new bootstrap approach based on sieve bootstrap. The approach is then applied to the Yule-Walker estimator of the thinning parameters. Monte Carlo experiments are carried out to valuate the performance of bootstrap estimator and the superiority of our proposal is stated in terms of low bias and Mean Square Error (MSE). Finally, a real time series is analyzed.

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EPrint type:Working Paper
Anno di Pubblicazione:August 2016
Key Words:INAR(p) models, estimation, bootstrap
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:9736
Depositato il:15 Sep 2016 09:36
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