Portmanteau tests for generalized integer-valued autoregressive time series models

Masoomeh Forughi, Zohreh Shishebor and Atefeh Zamani ()
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Masoomeh Forughi: Shiraz University
Zohreh Shishebor: Shiraz University
Atefeh Zamani: Shiraz University

Statistical Papers, 2022, vol. 63, issue 4, No 7, 1163-1185

Abstract: 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

Keywords: Integer-valued time series; Generalized INAR; Portmanteau tests; Asymptotic distribution; 62M10; 62E20 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s00362-021-01274-9

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