Parameter estimation and diagnostic tests for INMA(1) processes

Boris Aleksandrov and Christian H. Weiß ()
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Boris Aleksandrov: Helmut Schmidt University
Christian H. Weiß: Helmut Schmidt University

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2020, vol. 29, issue 1, No 10, 196-232

Abstract: Abstract The INMA(1) model, an integer-valued counterpart to the usual moving-average model of order 1, gained recently importance for insurance applications. After a comprehensive discussion of stochastic properties of the INMA(1) model, we develop diagnostic tests regarding the marginal distribution (overdispersion, zero inflation) and the autocorrelation structure. We also derive formulae for correcting the bias of point estimators and for constructing joint confidence regions. These inferential approaches rely on asymptotic properties, the finite-sample performance of which is investigated with simulations. A real-data example illustrates the application of the novel diagnostic tools.

Keywords: Count time series; INMA(1) model; Diagnostic tests; Overdispersion; Autocorrelation structure; Confidence regions; 60G10; 62F03; 62F05; 62M10 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11749-019-00653-7

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