On strongly dependent zero-inflated INAR(1) processes

Jan Beran () and Frieder Droullier
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Jan Beran: University of Konstanz
Frieder Droullier: University of Konstanz

Statistical Papers, 2024, vol. 65, issue 4, No 23, 2527-2553

Abstract: Abstract We consider INAR(1) processes modulated by an unobserved strongly dependent $$0-1$$ 0 - 1 process. The observed process exhibits zero inflation and long memory. A simple method is proposed for estimating the INAR-parameters without modelling the unobserved modulating process. Asymptotic results for the estimators are derived, and a zero-inflation test is introduced. Asymptotic rejection regions and asymptotic power under long-memory alternatives are derived. A small simulation study illustrates the asymptotic results.

Keywords: INAR process; Zero-inflation; Long-range dependence; Modulation (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00362-023-01496-z

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