Whittle likelihood estimation in INAR(1) process

Xiaoqiang Zeng

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 17, 6177-6196

Abstract: The frequency domain analysis is considered in the stationary INAR(1) process under a general innovation. The Whittle likelihood from the demeaned data is shown to be not identifiable with respect to the innovation mean and variance. Using an identifiable version of the Whittle likelihood, the strong consistency and asymptotic normality of the Whittle estimator are established. Furthermore, the Wald-type test about the equidispersion is proposed on the basis of the estimators for the innovation mean and variance.

Date: 2024
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DOI: 10.1080/03610926.2023.2241093

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