CLAR(1) point forecasting under estimation uncertainty

Simon Nik and Christian H. Weiß

Statistica Neerlandica, 2020, vol. 74, issue 4, 489-516

Abstract: Forecast error is not only caused by the randomness of the data‐generating process but also by the uncertainty due to estimated model parameters. We investigate these different sources of forecast error for a popular type of count process, the Poisson first‐order integer‐valued autoregressive (INAR(1)) process. However, many of our analytical derivations also hold for the more general family of conditional linear AR(1) (CLAR(1)) processes. In addition, results from a simulation study are presented, to verify and complement our asymptotic approximations.

Date: 2020
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