Bias-correction of some estimators in the INAR(1) process

Xiaoqiang Zeng and Yoshihide Kakizawa

Statistics & Probability Letters, 2022, vol. 187, issue C

Abstract: A class of estimators in the first-order nonnegative integer-valued autoregressive process is considered, which contains the Yule–Walker, Burg, and method of moment estimators. Bias-correction and higher-order mean squared error comparison are studied. Some simulations demonstrate that the bias-correction works well.

Keywords: Bias-correction; INAR(1) process; General estimator (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109503

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